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Bounds for the price of discrete arithmetic Asian options
Vanmaele, M.; Deelstra, Griselda; Liinev, J.; Dhaene, Jan; … - 2004
Persistent link: https://www.econbiz.de/10002341411
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An accurate analytical approximation for the price of a European-style arithmetic Asian option
Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - In: Finance : revue de l'Association Française de Finance 25 (2004) Numéro hors séries, pp. 121-139
Persistent link: https://www.econbiz.de/10002877398
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Static hedging of Asian options under Lévy models
Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - In: The journal of derivatives : the official publication … 12 (2004) 3, pp. 63-72
Persistent link: https://www.econbiz.de/10002672510
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Static hedging of Asian options under Lévy models : the comonotonicity approach
Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - 2003
Persistent link: https://www.econbiz.de/10001938553
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An accurate analytical approximation for the price of a European-style arithmetic Asian option
Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003
Persistent link: https://www.econbiz.de/10001769796