The square-root process and Asian options

DOI10.1080/14697680600724775zbMath1134.91409OpenAlexW2168562135MaRDI QIDQ3437388

Jayalaxshmi Nagaradjasarma, Angelos Dassios

Publication date: 9 May 2007

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

Full work available at URL: http://eprints.lse.ac.uk/2851/

Mathematics Subject Classification ID

Related Items (10)

Pricing CIR yield options by conditional moment matching ⋮ SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ A Cox model for gradually disappearing events ⋮ SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS ⋮ BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach ⋮ Analytical approximations for prices of swap rate dependent embedded options in insurance products ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

Cites Work

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• A Theory of the Term Structure of Interest Rates
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• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
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• An inequality for a functional of probability distributions and its application to Kac's one-dimensional model of a Maxwellian gas
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The value of an Asian option
• Semi-stable Markov processes. I
• Spectral Expansions for Asian (Average Price) Options
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An affine property of the reciprocal Asian option process
• Exponential functionals of Brownian motion and related processes

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