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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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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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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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Bounds for path-dependent options
Brown, Donald J.; Ibragimov, Rustam Ju.; Walden, Johan - In: Annals of finance 11 (2015) 3/4, pp. 433-451
Persistent link: https://www.econbiz.de/10011459441
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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
Persistent link: https://www.econbiz.de/10011846502
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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
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Bounds for floating-strike Asian options using symmetry
Henderson, Vicky; Hobson, David G.; Shaw, William; … - 2003
Persistent link: https://www.econbiz.de/10009581655
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On the equivalence of floating and fixed-strike Asian options
Henderson, Vicky; Wojakowski, Rafa L. - 2001
Persistent link: https://www.econbiz.de/10009581665
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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
Persistent link: https://www.econbiz.de/10012042237
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Asian options with zero cost-of-carry : EEX options on freight and iron ore futures
Haug, Espen Gaarder - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 191-195
Persistent link: https://www.econbiz.de/10012587830