Pricing American Asian options with higher moments in the underlying distribution
From MaRDI portal
Publication:953394
DOI10.1016/j.cam.2008.01.012zbMath1152.91534OpenAlexW2028631907MaRDI QIDQ953394
Kehluh Wang, Keng-Hsin Lo, Ming-Feng Hsu
Publication date: 20 November 2008
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2008.01.012
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- The Pricing of Options and Corporate Liabilities
- A refined binomial lattice for pricing American Asian options
- Prices and sensitivities of Asian options: A survey
- Monte Carlo methods for security pricing
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- Efficient, exact algorithms for Asian options with multiresolution lattices
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Laguerre Series for Asian and Other Options
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- On the Convergence Rates of IPA and FDC Derivative Estimators
- Estimating Security Price Derivatives Using Simulation
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Path-Dependent Options: Extending the Monte Carlo Simulation Approach
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
- Spectral Expansions for Asian (Average Price) Options
- Pricing Interest-Rate-Derivative Securities
- Option pricing: A simplified approach
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Upper and lower bounds for sums of random variables
This page was built for publication: Pricing American Asian options with higher moments in the underlying distribution
