Pages that link to "Item:Q5322002"

The following pages link to Spectral Expansions for Asian (Average Price) Options (Q5322002):

Displaying 50 items.

• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS (Q3067163) (← links)
• Statistical Inference for Student Diffusion Process (Q3068099) (← links)
• PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (Q3069960) (← links)
• The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options (Q3094703) (← links)
• An improved convolution algorithm for discretely sampled Asian options (Q3169216) (← links)
• Pseudospectral methods for pricing options (Q3182746) (← links)
• Optimal importance sampling for the Laplace transform of exponential Brownian functionals (Q3188585) (← links)
• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values (Q3417914) (← links)
• The square-root process and Asian options (Q3437388) (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
• A General Framework for Pricing Asian Options Under Markov Processes (Q3450459) (← links)
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (Q3502163) (← links)
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (Q3532293) (← links)
• Accurate closed-form approximation for pricing Asian and basket options (Q3552634) (← links)
• A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS (Q3580191) (← links)
• Infinite integrals of Whittaker and Bessel functions with respect to their indices (Q3583761) (← links)
• On constructive complex analysis in finance: Explicit formulas for Asian options (Q3616463) (← links)
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (Q4464013) (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) (← links)
• (Q4583409) (← links)
• MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697) (← links)
• Asymptotic Solutions for Australian Options with Low Volatility (Q4586320) (← links)
• SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL (Q4608115) (← links)
• A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line (Q4618067) (← links)
• Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) (← links)
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (Q4660529) (← links)
• The log-normal approximation in financial and other computations (Q4662236) (← links)
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback (Q4683036) (← links)
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance (Q4819461) (← links)
• Geometric bounds on certain sublinear functionals of geometric Brownian motion (Q4819504) (← links)
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
• On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion (Q4964401) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• PRICING ASIAN OPTIONS WITH CORRELATORS (Q5061498) (← links)
• Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval (Q5082731) (← links)
• Efficiency of institutional spending and investment rules (Q5117681) (← links)
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options (Q5137949) (← links)
• SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (Q5214828) (← links)
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
• Asian option pricing with orthogonal polynomials (Q5234316) (← links)
• Short Maturity Forward Start Asian Options in Local Volatility Models (Q5241901) (← links)
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
• Asian options on the harmonic average (Q5245894) (← links)
• Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum (Q5366996) (← links)
• Spectral representation of transition density of Fisher–Snedecor diffusion (Q5411909) (← links)
• PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (Q5488975) (← links)
• On the transition densities for reflected diffusions (Q5694152) (← links)
• Lévy processes with respect to the Whittaker convolution (Q5853477) (← links)
• A strengthened solution to option manipulation (Q5883609) (← links)