BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS

DOI10.1111/mafi.12012zbMath1314.91216OpenAlexW1919071467MaRDI QIDQ2875730

Jan Večeř

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12012

zbMATH Keywords

hedgingAsian optionBlack-Scholes formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ Short maturity conditional Asian options in local volatility models ⋮ MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ Asian and Australian options: a common perspective ⋮ European and Asian Greeks for exponential Lévy processes ⋮ On the solution of two-dimensional fractional Black-Scholes equation for European put option ⋮ Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options ⋮ Partial differential equations for Asian option prices

Cites Work

• Symmetric martingales and symmetric smiles
• Equivalence of floating and fixed strike Asian and lookback options
• PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
• On the equivalence of floating- and fixed-strike Asian options
• Robustness of the Black and Scholes Formula
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Spectral Expansions for Asian (Average Price) Options

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