PRICING ASIAN OPTIONS WITH CORRELATORS

DOI10.1142/S0219024921500412zbMath1484.91480arXiv2104.11684OpenAlexW3215546363MaRDI QIDQ5061498

Silvia Lavagnini

Publication date: 11 March 2022

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

Full work available at URL: https://arxiv.org/abs/2104.11684

zbMATH Keywords

orthogonal polynomialsoption pricingHermite polynomialsAsian optioncorrelatorsGreekspolynomial jump-diffusion process

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Cites Work

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• Processes of normal inverse Gaussian type
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• General Lower Bounds for Arithmetic Asian Option Prices
• On some exponential functionals of Brownian motion
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Correlators of Polynomial Processes
• Option pricing with orthogonal polynomial expansions
• Polynomial Jump-Diffusion Models
• Asian option pricing with orthogonal polynomials
• Spectral Expansions for Asian (Average Price) Options

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