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Sensitivities of Asian options in the black-scholes model

Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-25

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The role of jumps and options in the risk premia of interest rates

Lund, Bruno - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 263-285

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Efficient conservative second-order central-upwind schemes for option-pricing problems

Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101

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Exact simulation of the SABR model

Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951

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Pricing CIR yield options by conditional moment matching

Prayoga, Adrian; Privault, Nicolas - In: Asia-Pacific financial markets 24 (2017) 1, pp. 19-38

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The CTMC–Heston model : calibration and exotic option pricing with SWIFT

Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114

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Pricing Asian options : a comparison of numerical and simulation approaches twenty years later

Horvath, Akos; Medvegyev, Peter - In: Journal of mathematical finance 6 (2016) 5, pp. 810-841

Persistent link: https://www.econbiz.de/10011657691

Singular risk-neutral valuation equations

Costantini, Cristina; Papi, Marco; Fernanda D’Ippoliti - In: Finance and Stochastics 16 (2012) 2, pp. 249-274

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Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus

Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - In: Mathematical Methods of Operations Research 74 (2011) 1, pp. 93-120

We use Malliavin calculus and the Clark–Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy...

Persistent link: https://www.econbiz.de/10010950018

Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus

Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - Centre for Research into Industry, Enterprise, Finance … - 2009

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...

Persistent link: https://www.econbiz.de/10005017306