Pricing Asian options in a semimartingale model
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- repec:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9128-4 is not listed on IDEAS
- Alexander Novikov & Nino Kordzakhia, 2013. "On lower and upper bounds for Asian-type options: a unified approach," Papers 1309.2383, arXiv.org.
- Nomikos, Nikos K. & Kyriakou, Ioannis & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Freight options: Price modelling and empirical analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 51(C), pages 82-94.
- repec:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3 is not listed on IDEAS
- Kyungsub Lee, 2013. "Recursive formula for arithmetic Asian option prices," Papers 1311.4969, arXiv.org.
- H. Albrecher & P. A. Mayer & W. Schoutens, 2008. "General Lower Bounds for Arithmetic Asian Option Prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 123-149.
- Angelos Dassios & Jayalaxshmi Nagaradjasarma, 2006. "The square-root process and Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 337-347.
- Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra, 2014. "Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps," Papers 1407.2514, arXiv.org.
- D. Hackmann & A. Kuznetsov, 2014. "Asian options and meromorphic Lévy processes," Finance and Stochastics, Springer, vol. 18(4), pages 825-844, October.
- Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
- Fred Benth & Nils Detering, 2015. "Pricing and hedging Asian-style options on energy," Finance and Stochastics, Springer, vol. 19(4), pages 849-889, October.
- Michael Schröder, 2005. "Laguerre Series In Contingent Claim Valuation, With Applications To Asian Options," Mathematical Finance, Wiley Blackwell, vol. 15(3), pages 491-531.
- Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
- Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013. "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1001-1018.
- Dassios, Angelos & Nagaradjasarma, Jayalaxshmi, 2006. "The square-root process and Asian options," LSE Research Online Documents on Economics 2851, London School of Economics and Political Science, LSE Library.
- repec:eee:apmaco:v:252:y:2015:i:c:p:418-437 is not listed on IDEAS
- Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options," Papers 1706.09659, arXiv.org.
- Giacomo Bormetti & Giorgia Callegaro & Giulia Livieri & Andrea Pallavicini, 2015. "A backward Monte Carlo approach to exotic option pricing," Papers 1511.00848, arXiv.org.
- Eberlein, Ernst & Papapantoleon, Antonis, 2005. "Equivalence of floating and fixed strike Asian and lookback options," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 31-40, January.
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