IDEAS home Printed from https://ideas.repec.org/r/eee/jimfin/v11y1992i5p474-491.html
   My bibliography  Save this item

Pricing European average rate currency options

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Adrian Prayoga & Nicolas Privault, 2017. "Pricing CIR Yield Options by Conditional Moment Matching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(1), pages 19-38, March.
  2. Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
  3. Ting He, 2020. "Nonparametric Predictive Inference for Asian options," Papers 2008.13082, arXiv.org.
  4. Chad E. Hart & Bruce A. Babcock & Dermot J. Hayes, 2001. "Livestock Revenue Insurance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(6), pages 553-580, June.
  5. Mohamed Amine Kacef & Kamal Boukhetala, 2021. "A closed-form approximation for pricing geometric Istanbul options," Papers 2103.07440, arXiv.org.
  6. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona School of Economics.
  7. Paolo Guasoni & Scott Robertson, 2008. "Optimal importance sampling with explicit formulas in continuous time," Finance and Stochastics, Springer, vol. 12(1), pages 1-19, January.
  8. Gilles Pag`es & Olivier Pironneau & Guillaume Sall, 2016. "Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options," Papers 1606.06143, arXiv.org.
  9. Alessandra Cretarola & Gianna Fig`a-Talamanca & Marco Patacca, 2017. "A sentiment-based model for the BitCoin: theory, estimation and option pricing," Papers 1709.08621, arXiv.org.
  10. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de Opciones Call Asiáticas Promedio Aritmético bajo Movimiento Browniano Logístico," Working Papers 46, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  11. 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.
  12. Gilles Pages & Olivier Pironneau & Guillaume Sall, 2015. "Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options," Working Papers hal-01234637, HAL.
  13. 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.
  14. 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.
  15. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de opciones call asiáticas Promedio Aritmético usando Taylor Estocástico 1.5," Working Papers 44, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  16. Gan, Lirong & Wang, Huamao & Yang, Zhaojun, 2020. "Machine learning solutions to challenges in finance: An application to the pricing of financial products," Technological Forecasting and Social Change, Elsevier, vol. 153(C).
  17. Lin, Chung-Gee & Chang, Chia-Chang, 2020. "Approximate analytic solution for Asian options with stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  18. 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.
  19. Rudiger Kiesel & Gero Schindlmayr & Reik Borger, 2009. "A two-factor model for the electricity forward market," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 279-287.
  20. Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.
  21. 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.
  22. He, Ting, 2023. "An imprecise pricing model for Asian options based on Nonparametric predictive inference," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  23. Araceli Matías González & María Teresa Verónica Martínez-Palacios & Ambrosio Ortiz-Ramírez, 2019. "Consumo e inversión óptimos y valuación de opciones asiáticas en un entorno estocástico con fundamentos microeconómicos y simulación Monte Carlo," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(3), pages 397-414, Julio - S.
  24. Rongwen Wu & Michael C. Fu, 2003. "Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options," Operations Research, INFORMS, vol. 51(1), pages 52-66, February.
  25. Jourdain Benjamin & Sbai Mohamed, 2007. "Exact retrospective Monte Carlo computation of arithmetic average Asian options," Monte Carlo Methods and Applications, De Gruyter, vol. 13(2), pages 135-171, July.
  26. Jinke Zhou & Xiaolu Wang, 2008. "Accurate closed‐form approximation for pricing Asian and basket options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 343-358, July.
  27. Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options," Papers 1706.09659, arXiv.org.
  28. Lee, David, 2023. "An Analytic Solution for Valuing Guaranteed Equity Securities," MPRA Paper 117775, University Library of Munich, Germany.
  29. 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, June.
  30. Plat, Richard & Pelsser, Antoon, 2009. "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 124-134, February.
  31. Paulson, Nicholas D. & Babcock, Bruce A. & Hart, Chad E. & Hayes, Dermot J., 2008. "An Insurance Approach to Risk Management in the Ethanol Industry," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 37(1), pages 1-12, April.
  32. 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.
  33. Paulson, Nicholas David, 2004. "Insuring uncertainty in value-added agriculture: ethanol," ISU General Staff Papers 2004010108000018198, Iowa State University, Department of Economics.
  34. Pirjol, Dan & Zhu, Lingjiong, 2016. "Discrete sums of geometric Brownian motions, annuities and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 19-37.
  35. David Xiao, 2023. "Valuation of Equity Linked Securities with Guaranteed Return," Papers 2306.15026, arXiv.org.
  36. Hyndman, Cody B. & Wenger, Menachem, 2014. "Valuation perspectives and decompositions for variable annuities with GMWB riders," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 283-290.
  37. 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.
  38. Jaehyuk Choi, 2018. "Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 627-644, June.
  39. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
  40. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
  41. Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh & Liu, Liang-Chih & Chen, Yu-Ting, 2022. "Option pricing with the control variate technique beyond Monte Carlo simulation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  42. 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.
  43. Guoping Xu & Harry Zheng, 2012. "Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models," Papers 1212.3147, arXiv.org, revised Oct 2013.
  44. Sander Willems, 2018. "Asian Option Pricing with Orthogonal Polynomials," Papers 1802.01307, arXiv.org, revised Sep 2018.
  45. Peter G. Zhang, 1995. "An introduction to exotic options," European Financial Management, European Financial Management Association, vol. 1(1), pages 87-95, March.
  46. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
  47. Alessandra Cretarola & Gianna Fig`a-Talamanca, 2017. "A confidence-based model for asset and derivative prices in the BitCoin market," Papers 1702.00215, arXiv.org.
  48. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
  49. Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2020. "Market attention and Bitcoin price modeling: theory, estimation and option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 187-228, June.
  50. Schepper, Ann De & Heijnen, Bart, 2007. "Distribution-free option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 179-199, March.
  51. Paul H. Kupiec & James M. O'Brien, 1998. "Deposit insurance, bank incentives, and the design of regulatory policy," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 201-211.
  52. Manuel Lopez Galvan, 2020. "An approximate closed formula for European Mortgage Options," Papers 2012.06645, arXiv.org.
  53. Aprahamian, Hrayer & Maddah, Bacel, 2015. "Pricing Asian options via compound gamma and orthogonal polynomials," Applied Mathematics and Computation, Elsevier, vol. 264(C), pages 21-43.
  54. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2002. "Efficient, exact algorithms for asian options with multiresolution lattices," Review of Derivatives Research, Springer, vol. 5(2), pages 181-203, May.
  55. Chad E. Hart & Dermot J. Hayes & Bruce A. Babcock, 2006. "Insuring Eggs in Baskets: Should the Government Insure Individual Risks?," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 54(1), pages 121-137, March.
  56. Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
  57. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
  58. Ping Wu & Robert J. Elliott, 2017. "Valuation of certain CMS spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 445-467, November.
  59. Stefano Bistarelli & Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2019. "Model-based arbitrage in multi-exchange models for Bitcoin price dynamics," Digital Finance, Springer, vol. 1(1), pages 23-46, November.
  60. Xu, Guoping & Zheng, Harry, 2009. "Approximate basket options valuation for a jump-diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 188-194, October.
  61. Pingping Zeng & Yue Kuen Kwok, 2016. "Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1375-1391, September.
  62. Schrager, David F. & Pelsser, Antoon A.J., 2004. "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 369-398, October.
  63. 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.
  64. Elçin Çetinkaya & Aurélie Thiele, 2016. "A moment matching approach to log-normal portfolio optimization," Computational Management Science, Springer, vol. 13(4), pages 501-520, October.
  65. Moshe Arye Milevsky & Steven E. Posner, 1999. "Asian Options, The Sum Of Lognormals, And The Reciprocal Gamma Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 7, pages 203-218, World Scientific Publishing Co. Pte. Ltd..
  66. Chad E. Hart & Dermot J. Hayes & Bruce A. Babcock, 2006. "Insuring Eggs in Baskets: Should the Government Insure Individual Risks?," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 54(1), pages 121-137, March.
  67. 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.
  68. Noorani, Idin & Mehrdoust, Farshid & Nasroallah, Abdelaziz, 2021. "A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 1-15.
  69. 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.
  70. Dan Pirjol & Lingjiong Zhu, 2016. "Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options," Papers 1609.07558, arXiv.org.
  71. Geon Ho Choe & Minseok Kim, 2021. "Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1916-1932, December.
  72. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, January.
  73. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
  74. 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.
  75. Kyungsub Lee, 2013. "Recursive formula for arithmetic Asian option prices," Papers 1311.4969, arXiv.org.
  76. 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.
  77. 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.
  78. Kwangil Bae, 2019. "Valuation and applications of compound basket options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 704-720, June.
  79. Xu, Guoping & Zheng, Harry, 2010. "Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 415-422, December.
  80. 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.
  81. Cody B. Hyndman & Menachem Wenger, 2013. "Valuation Perspectives and Decompositions for Variable Annuities with GMWB riders," Papers 1307.2562, arXiv.org, revised Dec 2013.
  82. 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.
  83. Naoki Kishimoto, 2004. "Pricing Path-Dependent Securities by the Extended Tree Method," Management Science, INFORMS, vol. 50(9), pages 1235-1248, September.
  84. Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2015. "Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 418-437.
  85. 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.
  86. Driouchi, Tarik & Bennett, David & Simpson, Gary, 2010. "A path-dependent contingent-claims approach to capacity investments," European Journal of Operational Research, Elsevier, vol. 201(1), pages 319-323, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.