Pages that link to "Item:Q2707158"

The following pages link to Laguerre series for Asian and other options (Q2707158):

Displaying 50 items.

• The \(\alpha\)-hypergeometric stochastic volatility model (Q265650) (← links)
• Another look at the integral of exponential Brownian motion and the pricing of Asian options (Q331365) (← links)
• The mean first rotation time of a planar polymer (Q635780) (← links)
• Prices and sensitivities of Asian options: A survey (Q939350) (← links)
• Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
• The derivatives of Asian call option prices (Q957478) (← links)
• A lattice algorithm for pricing moving average barrier options (Q975929) (← links)
• A path-dependent contingent-claims approach to capacity investments (Q1044172) (← links)
• On positive and negative moments of the integral of geometric Brownian motions (Q1579536) (← links)
• A unified approach for the pricing of options relating to averages (Q1627630) (← links)
• Gram-Charlier processes and applications to option pricing (Q1658066) (← links)
• Pricing Asian options via compound gamma and orthogonal polynomials (Q1659626) (← links)
• An extension of Seshadri's identities for Brownian motion (Q1871298) (← links)
• Bougerol's identity in law and extensions (Q1950172) (← links)
• Small-\(t\) expansion for the Hartman-Watson distribution (Q2065487) (← links)
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
• Revisiting integral functionals of geometric Brownian motion (Q2197607) (← links)
• Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
• Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion (Q2435231) (← links)
• Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion (Q2436060) (← links)
• On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type (Q2511180) (← links)
• Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance (Q2516384) (← links)
• Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion (Q2583513) (← links)
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models (Q2657004) (← links)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
• Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
• AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (Q3022037) (← links)
• THE DOTHAN PRICING MODEL REVISITED (Q3084606) (← links)
• On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results (Q3417913) (← 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)
• Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case (Q3435398) (← links)
• The square-root process and Asian options (Q3437388) (← links)
• Accurate closed-form approximation for pricing Asian and basket options (Q3552634) (← links)
• ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
• A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS (Q3580191) (← 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)
• MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697) (← links)
• The log-normal approximation in financial and other computations (Q4662236) (← links)
• Geometric bounds on certain sublinear functionals of geometric Brownian motion (Q4819504) (← links)
• Partial differential equations for Asian option prices (Q5001142) (← links)
• Stochastic Life Annuities (Q5019716) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• PRICING ASIAN OPTIONS WITH CORRELATORS (Q5061498) (← links)
• Windings of planar processes, exponential functionals and Asian options (Q5215022) (← 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)
• The Maximum of the Local Time of a Diffusion Process in a Drifted Brownian Potential (Q5270097) (← links)
• Asian Options Under One-Sided Lévy Models (Q5299562) (← links)