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Citations for "A pricing method for options based on average asset values"

by Kemna, A. G. Z. & Vorst, A. C. F.

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  1. Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
  2. 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.
  3. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(3), pages 209-236.
  4. Cassagnes, Aurelien & Chen, Yu & Ohashi, Hirotada, 2014. "Path integral pricing of Wasabi option in the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 1-10.
  5. Tian, Yisong S., 2013. "Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 415-432.
  6. Boyle, Phelim & Draviam, Thangaraj, 2007. "Pricing exotic options under regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 267-282, March.
  7. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
  8. Leunglung Chan & Song-Ping Zhu, 2014. "An exact and explicit formula for pricing Asian options with regime switching," Papers 1407.5091, arXiv.org.
  9. Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, 08.
  10. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
  11. Keng‐Hsin Lo & Kehluh Wang & Ming‐Feng Hsu, 2008. "Pricing European Asian options with skewness and kurtosis in the underlying distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(6), pages 598-616, 06.
  12. Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
  13. Alziary, Benedicte & Decamps, Jean-Paul & Koehl, Pierre-Francois, 1997. "A P.D.E. approach to Asian options: analytical and numerical evidence," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 613-640, May.
  14. Koekebakker, Steen & Adland, Roar & Sødal, Sigbjørn, 2007. "Pricing freight rate options," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 43(5), pages 535-548, September.
  15. repec:spr:compst:v:74:y:2011:i:1:p:93-120 is not listed on IDEAS
  16. Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003. "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 55-82, March-Jun.
  17. Jacques Pézier & Johanna Scheller, 2012. "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2012-05, Henley Business School, Reading University.
  18. David Ford & Diane Lander & John Voyer, 2002. "A real options approach to valuing strategic flexibility in uncertain construction projects," Construction Management and Economics, Taylor & Francis Journals, vol. 20(4), pages 343-351.
  19. Carole Bernard & Franck Moraux & Ludger Rüschendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
  20. Simon, S. & Goovaerts, M. J. & Dhaene, J., 2000. "An easy computable upper bound for the price of an arithmetic Asian option," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 175-183, May.
  21. 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.
  22. 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.
  23. Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.
  24. Gabriel Drimus, 2010. "A forward started jump-diffusion model and pricing of cliquet style exotics," Review of Derivatives Research, Springer, vol. 13(2), pages 125-140, July.
  25. Jiri Hoogland & Dimitri Neumann, 1999. "Scale invariance and contingent claim pricing II: Path-dependent contingent claims," Finance 9907003, EconWPA.
  26. Garry de Jager & Joseph Winsen, 1992. "Curved Option Payoffs," Working Paper Series 19, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  27. 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.
  28. Gobet, Emmanuel & Miri, Mohammed, 2014. "Weak approximation of averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 475-504.
  29. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona Graduate School of Economics.
  30. Takahiko Fujita & Masahiro Ishii, 2010. "Valuation of a Repriceable Executive Stock Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(1), pages 1-18, March.
  31. Kyungsub Lee, 2013. "Recursive formula for arithmetic Asian option prices," Papers 1311.4969, arXiv.org.
  32. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.
  33. 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.
  34. Bernard, Carole & MacKay, Anne & Muehlbeyer, Max, 2014. "Optimal surrender policy for variable annuity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 116-128.
  35. Miura, Ryozo, 1992. "A Note on Look-Back Options Based on Order Statistics," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 27(1), pages 15-28, November.
  36. 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.
  37. Jacques, Michel, 1997. "The Istanbul option: Where the standard European option becomes Asian," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 139-152, November.
  38. Hatem Ben-Ameur & Michèle Breton & Pierre L'Ecuyer, 2002. "A Dynamic Programming Procedure for Pricing American-Style Asian Options," Management Science, INFORMS, vol. 48(5), pages 625-643, May.
  39. Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
  40. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
  41. Cross, Robin M. & Buccola, Steven T. & Thomann, Enrique A., 2006. "Cooperation and Cheating," 2006 Annual meeting, July 23-26, Long Beach, CA 21158, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  42. Lemmens, D. & Liang, L.Z.J. & Tempere, J. & De Schepper, A., 2010. "Pricing bounds for discrete arithmetic Asian options under Lévy models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5193-5207.
  43. Choi, Hyun-Woo & Kim, In Joon & Kim, Tong Suk, 2002. "Contingent claims valuation of optional calling plan contracts in telephone industry," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 433-448.
  44. Devreese, J.P.A. & Lemmens, D. & Tempere, J., 2010. "Path integral approach to Asian options in the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 780-788.
  45. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO.
  46. Renyuan Shao & Brian Roe, 2003. "The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1047-1073, November.
  47. Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.
  48. E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics.
  49. Hideharu Funahashi & Masaaki Kijima, 2013. "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options," KIER Working Papers 857, Kyoto University, Institute of Economic Research.
  50. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
  51. George L. Ye, 2008. "Asian options versus vanilla options: a boundary analysis," Journal of Risk Finance, Emerald Group Publishing, vol. 9(2), pages 188-199, February.
  52. Jiri Hoogland & Dimitri Neumann, 2001. "Tradable Schemes," Finance 0105003, EconWPA.
  53. Robert Dubil, 2004. "The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 9(3), pages 1-14, Fall.
  54. J. David Cummins & Hèlyette Geman, 1993. "An Asian Option to the Valuation of Insurance Futures Contracts," Center for Financial Institutions Working Papers 94-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
  55. Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei, 2008. "Adaptive placement method on pricing arithmetic average options," Review of Derivatives Research, Springer, vol. 11(1), pages 83-118, March.
  56. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc.
  57. repec:bpj:jbvela:v:12:y:2017:i:1:p:41-62:n:6 is not listed on IDEAS
  58. Giannopoulos, Kostas, 2008. "Nonparametric, conditional pricing of higher order multivariate contingent claims," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1907-1915, September.
  59. repec:pal:jorsoc:v:60:y:2009:i:7:d:10.1057_palgrave.jors.2602645 is not listed on IDEAS
  60. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
  61. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org.
  62. Chen, Andrew H. & Bennett, James A. & McGuinness, Paul, 1996. "An analysis of capital guaranteed funds," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 259-268.
  63. Chueh-Yung Tsao & Chao-Ching Liu, 2012. "Asian Options with Credit Risks: Pricing and Sensitivity Analysis," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(S3), pages 96-115, September.
  64. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  65. Pierre L'Ecuyer & Christiane Lemieux, 2000. "Variance Reduction via Lattice Rules," Management Science, INFORMS, vol. 46(9), pages 1214-1235, September.
  66. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147 Edward Elgar Publishing.
  67. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
  68. Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany.
  69. Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jun 2015.
  70. Cruz Báez, Domingo Israel & González Rodríguez, José Manuel, 2008. "Valoración de opciones. Un enfoque diferente," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 26, pages 341-362, Abril.
  71. Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  72. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
  73. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, EconWPA.
  74. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  75. Nengjiu Ju & Rui Zhong, 2006. "Fourier transformation and the pricing of average-rate derivatives," Review of Derivatives Research, Springer, vol. 9(3), pages 187-212, November.
  76. 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.
  77. Naoki Kishimoto, 2004. "Pricing Path-Dependent Securities by the Extended Tree Method," Management Science, INFORMS, vol. 50(9), pages 1235-1248, September.
  78. Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options," Papers 1706.09659, arXiv.org.
  79. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2095-2114.
  80. Boyle, Phelim & Potapchik, Alexander, 2008. "Prices and sensitivities of Asian options: A survey," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.
  81. Plato, Gerald E. & Skully, David W. & Johnsons, D. Demcey, 2007. "Valuing Counter-Cyclical Payments: Implications For Producer Risk Management And Program Administration," Economic Research Report 7184, United States Department of Agriculture, Economic Research Service.
  82. An Chen & Markus Pelger & Klaus Sandmann, 2013. "New performance-vested stock option schemes," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 709-727, April.
  83. repec:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9125-z is not listed on IDEAS
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