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Asian options pricing in Hawkes-type jump-diffusion models
Brignone, Riccardo; Sgarra, Carlo - In: Annals of finance 16 (2020) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10012495966
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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
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A note on the implied volatility of floating strike Asian options
Alòs, Elisa; León, Jorge A. - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
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Another look at the integral of exponential Brownian motion and the pricing of Asian options
Lyasoff, Andrew - In: Finance and stochastics 20 (2016) 4, pp. 1061-1096
Persistent link: https://www.econbiz.de/10011570364
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On the performance of the comonotonicity approach for pricing Asian options in some benchmark models from equities and commodities
Chen, Jilong; Ewald, Christian - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011697161
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Stratified approximations for the pricing of options on average
Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
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The valuation of self-funding instalment warrants
Dewynne, Jeff N.; Hassan, Nadima el - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
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Discrete sums of geometric Brownian motions, annuities and Asian options
Pirjol, Dan; Zhu, Lingjiong - In: Insurance / Mathematics & economics 70 (2016), pp. 19-37
Persistent link: https://www.econbiz.de/10011597130
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On peacocks and lyrebirds : Australian options, Brownian bridges, and the average of submartingales
Ewald, Christian-Oliver; Yor, Marc - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 536-549
Persistent link: https://www.econbiz.de/10011969088
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Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.; Xia, Yuan - In: Finance and stochastics 21 (2017) 4, pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462