A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION

DOI10.1142/S0219024907004068zbMath1291.91236MaRDI QIDQ3444866

Antony William Stace

Publication date: 5 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricingmoment matchingvolume weighted average price

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

An analytical approximation for pricing VWAP options ⋮ Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results ⋮ EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL ⋮ Pricing of Asian-Type and Basket Options via Bounds ⋮ BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ Lower and upper bounds for prices of Asian-type options

Cites Work

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• Option theory with stochastic analysis. An introduction to mathematical finance.
• Stochastic calculus for finance. II: Continuous-time models.
• A Theory of the Term Structure of Interest Rates
• Arbitrage Theory in Continuous Time

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