Essentially exact asymptotic solutions for Asian derivatives
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Publication:2888863
DOI10.1017/S0956792511000441zbMath1239.91168MaRDI QIDQ2888863
Publication date: 4 June 2012
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Related Items (4)
THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS ⋮ A backward Monte Carlo approach to exotic option pricing ⋮ Asymptotic Solutions for Australian Options with Low Volatility ⋮ Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
Cites Work
- Matched asymptotic expansions in financial engineering
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- On some exponential functionals of Brownian motion
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- Spectral Expansions for Asian (Average Price) Options
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