On constructive complex analysis in finance: Explicit formulas for Asian options

DOI10.1090/S0033-569X-08-01107-XzbMath1160.91361MaRDI QIDQ3616463

Michael Schröder

Publication date: 25 March 2009

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.ams.org/distribution/qam/2008-66-04/S0033-569X-08-01107-X/home.html

zbMATH Keywords

Asian optionsparabolic cylinder functionshypergeometric and confluent hypergeometric functionsasymptotic expansions and series for Asian option valuationcomplex analytic methods and special functions in finance

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Applications of hypergeometric functions (33C90) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Numerical approximation and evaluation of special functions (33F05)

Related Items

Asian Options Under One-Sided Lévy Models, Geometric Asian option pricing in general affine stochastic volatility models with jumps, On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps

Cites Work

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