Asian options on the harmonic average

DOI10.1080/14697688.2013.847281zbMath1422.91726OpenAlexW2048753115MaRDI QIDQ5245894

Jan Večeř

Publication date: 16 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.847281

zbMATH Keywords

Asian optionspricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Variable purchase options
• Symmetric martingales and symmetric smiles
• Asian and Australian options: a common perspective
• Equivalence of floating and fixed strike Asian and lookback options
• PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
• On the equivalence of floating- and fixed-strike Asian options
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Spectral Expansions for Asian (Average Price) Options

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