Pages that link to "Item:Q3532293"

The following pages link to Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (Q3532293):

Displaying 22 items.

• Fourier transform of the continuous arithmetic Asian options PDE (Q420220) (← links)
• Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients (Q539363) (← links)
• A unified approach for the pricing of options relating to averages (Q1627630) (← links)
• Asian and Australian options: a common perspective (Q1994236) (← links)
• Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
• Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
• Existence of a fundamental solution of partial differential equations associated to Asian options (Q2665499) (← links)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
• A meshless method for Asian style options pricing under the Merton jump-diffusion model (Q2804502) (← links)
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (Q2806817) (← links)
• Essentially exact asymptotic solutions for Asian derivatives (Q2888863) (← links)
• Displaced Diffusion as an Approximation of the Constant Elasticity of Variance (Q3652697) (← links)
• A backward Monte Carlo approach to exotic option pricing (Q4575277) (← links)
• MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697) (← links)
• Asymptotic Solutions for Australian Options with Low Volatility (Q4586320) (← links)
• (Q4606686) (← links)
• Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) (← links)
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback (Q4683036) (← links)
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS (Q4798871) (← links)
• Optimal system of Lie group invariant solutions for the Asian option PDE (Q5199428) (← links)
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
• THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS (Q5281720) (← links)