Prices and sensitivities of Asian options: A survey

Citations

Cited by:

1. Dan Pirjol, 2020. "Asymptotic expansion for the Hartman-Watson distribution," Papers 2001.09579, arXiv.org, revised Dec 2024.
2. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011. "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 547-564.
   • J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010. "Equity-Linked Pension Schemes with Guarantees," Research Paper Series 270, Quantitative Finance Research Centre, University of Technology, Sydney.
3. Dan Pirjol, 2025. "Error bound for the asymptotic expansion of the Hartman-Watson integral," Papers 2504.04992, arXiv.org.
4. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2012. "A general control variate method for option pricing under Lévy processes," European Journal of Operational Research, Elsevier, vol. 221(2), pages 368-377.
5. Zhang, Ling & Lai, Yongzeng & Zhang, Shuhua & Li, Lin, 2019. "Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 602-621.
6. Kailin Ding & Zhenyu Cui & Xiaoguang Yang, 2023. "Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 217-241, February.
7. Chung, Shing Fung & Wong, Hoi Ying, 2014. "Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 130-140.
8. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011. "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 93-120, August.
9. Florian Stebegg, 2014. "Model-Independent Pricing of Asian Options via Optimal Martingale Transport," Papers 1412.1429, arXiv.org.
10. Jianqiang Sun & Langnan Chen & Shiyin Li, 2013. "A Quasi‐Analytical Pricing Model for Arithmetic Asian Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(12), pages 1143-1166, December.
11. Dan Pirjol & Lingjiong Zhu, 2018. "Sensitivities Of Asian Options In The Black–Scholes Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-25, February.
12. Florian Aichinger & Sascha Desmettre, 2025. "Pricing of geometric Asian options in the Volterra-Heston model," Review of Derivatives Research, Springer, vol. 28(1), pages 1-30, April.
13. Dan Pirjol, 2021. "Small-t Expansion for the Hartman-Watson Distribution," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1537-1549, December.
14. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013. "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 421-434.
15. Dai, Min & Li, Peifan & Zhang, Jin E., 2010. "A lattice algorithm for pricing moving average barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 542-554, March.
16. 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.
17. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
18. Kim, Bara & Kim, Jeongsim & Yoon, Hyungkuk & Lee, Jinyoung, 2024. "Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
19. Wensheng Yang & Jingtang Ma & Zhenyu Cui, 2021. "Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 359-412, April.
20. Jaehyun Kim & Hyungbin Park & Jonghwa Park, 2019. "Pricing and hedging short-maturity Asian options in local volatility models," Papers 1911.12944, arXiv.org, revised Apr 2024.
21. Cen, Zhongdi & Xu, Aimin & Le, Anbo, 2015. "A hybrid finite difference scheme for pricing Asian options," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 229-239.
22. Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
23. Chuang-Chang Chang & Chueh-Yung Tsao, 2011. "Efficient and accurate quadratic approximation methods for pricing Asian strike options," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 729-748.
24. Lu, King-Jeng & Liang, Chiung-Ju & Hsieh, Ming-Hua & Lee, Yi-Hsi, 2020. "An effective hybrid variance reduction method for pricing the Asian options and its variants," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
25. Chueh-Yung Tsao & Chao-Ching Liu, 2012. "Asian Options with Credit Risks: Pricing and Sensitivity Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 96-115, September.
26. Dan Pirjol & Lingjiong Zhu, 2023. "Sensitivities of Asian options in the Black-Scholes model," Papers 2301.06460, arXiv.org.
27. Zhang, Sumei & Gao, Xiong, 2019. "An asymptotic expansion method for geometric Asian options pricing under the double Heston model," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 1-9.