A General Framework for Pricing Asian Options Under Markov Processes
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References listed on IDEAS
- Ning Cai & Chenxu Li & Chao Shi, 2014. "Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 789-822, August.
- S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
- Vadim Linetsky, 2004. "Spectral Expansions for Asian (Average Price) Options," Operations Research, INFORMS, vol. 52(6), pages 856-867, December.
- Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
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- Ning Cai & Steven Kou, 2012. "Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model," Operations Research, INFORMS, vol. 60(1), pages 64-77, February.
- Dmitry Davydov & Vadim Linetsky, 2001. "Pricing and Hedging Path-Dependent Options Under the CEV Process," Management Science, INFORMS, vol. 47(7), pages 949-965, July.
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- repec:eee:phsmap:v:490:y:2018:i:c:p:402-418 is not listed on IDEAS
- repec:eee:ejores:v:266:y:2018:i:3:p:1134-1139 is not listed on IDEAS
- Gianluca Fusai & Ioannis Kyriakou, 2016. "General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 531-559, May.
- repec:eee:phsmap:v:507:y:2018:i:c:p:175-191 is not listed on IDEAS
- Nabil Kahale, 2018. "General multilevel Monte Carlo methods for pricing discretely monitored Asian options," Papers 1805.09427, arXiv.org, revised Sep 2018.
- Kenichiro Shiraya & Akihiko Takahashi, 2017. "Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Revised version of CARF-F-365 : Subsequently published in Mathematics of Operations Research)," CARF F-Series CARF-F-426, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- repec:eee:ejores:v:272:y:2019:i:3:p:1082-1095 is not listed on IDEAS
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Keywordsfinance; asset pricing; probability; stochastic model applications;
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