Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results

DOI10.1007/978-3-319-02069-3_21zbMath1418.91531OpenAlexW69097476MaRDI QIDQ4561946

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Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_21

zbMATH Keywords

Asian optionmoment matchingvolume processgeometric Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Intrinsic expansions for averaged diffusion processes ⋮ An analytical approximation for pricing VWAP options ⋮ On Upper Functions for Integral Quadratic Functionals Based on Time-Varying Ornstein--Uhlenbeck Process ⋮ 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

• Martingale methods in financial modelling.
• Statistical properties of the generalized inverse Gaussian distribution
• Implementing models in quantitative finance: methods and cases
• The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
• A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
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