BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
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Publication:2875730
DOI10.1111/mafi.12012zbMath1314.91216OpenAlexW1919071467MaRDI QIDQ2875730
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
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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