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Laguerre Series for Asian and Other Options

Citations

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Cited by:

  1. Sander Willems, 2018. "Asian Option Pricing with Orthogonal Polynomials," Papers 1802.01307, arXiv.org, revised Sep 2018.
  2. Dan Pirjol, 2020. "Asymptotic expansion for the Hartman-Watson distribution," Papers 2001.09579, arXiv.org, revised Feb 2021.
  3. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
  4. Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003. "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 55-82, March-Jun.
  5. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
  6. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona School of Economics.
  7. Aprahamian, Hrayer & Maddah, Bacel, 2015. "Pricing Asian options via compound gamma and orthogonal polynomials," Applied Mathematics and Computation, Elsevier, vol. 264(C), pages 21-43.
  8. Dan Pirjol, 2024. "Subleading correction to the Asian options volatility in the Black-Scholes model," Papers 2407.05142, arXiv.org, revised Aug 2024.
  9. Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
  10. Jianqiang Sun & Langnan Chen & Shiyin Li, 2013. "A Quasi‐Analytical Pricing Model for Arithmetic Asian Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(12), pages 1143-1166, December.
  11. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2018. "Most-Likely-Path In Asian Option Pricing Under Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  12. Runhuan Feng & Hans W. Volkmer, 2015. "Conditional Asian Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-24.
  13. Elena Boguslavskaya & Lioudmila Vostrikova, 2020. "Revisiting integral functionals of geometric Brownian motion," Papers 2001.11861, arXiv.org.
  14. Kazuyuki Ishiyama, 2005. "Methods for Evaluating Density Functions of Exponential Functionals Represented as Integrals of Geometric Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 7(3), pages 271-283, September.
  15. C. Brown & J. C. Handley & C.-T. Lin & K. J. Palmer, 2016. "Partial differential equations for Asian option prices," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 447-460, March.
  16. Ghomrasni, Raouf & Graversen, Svend Erik, 2002. "An extension of Seshadri's identities for Brownian motion," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 379-384, October.
  17. Andrew Lyasoff, 2016. "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, vol. 20(4), pages 1061-1096, October.
  18. Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.
  19. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  20. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org, revised Aug 2018.
  21. Cruz Báez, Domingo Israel & González Rodríguez, José Manuel, 2008. "Valoración de opciones. Un enfoque diferente," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 26, pages 341-362, Abril.
  22. Dan Pirjol, 2021. "Small-t Expansion for the Hartman-Watson Distribution," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1537-1549, December.
  23. Araceli Matías González & María Teresa Verónica Martínez-Palacios & Ambrosio Ortiz-Ramírez, 2019. "Consumo e inversión óptimos y valuación de opciones asiáticas en un entorno estocástico con fundamentos microeconómicos y simulación Monte Carlo," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(3), pages 397-414, Julio - S.
  24. Jinke Zhou & Xiaolu Wang, 2008. "Accurate closed‐form approximation for pricing Asian and basket options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 343-358, July.
  25. Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
  26. Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
  27. Pagliarani, S. & Pascucci, A. & Pignotti, M., 2017. "Intrinsic expansions for averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2560-2585.
  28. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
  29. Angelos Dassios & Jayalaxshmi Nagaradjasarma, 2006. "The square-root process and Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 337-347.
  30. Geon Ho Choe & Minseok Kim, 2021. "Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1916-1932, December.
  31. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
  32. Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity Asian options in local-stochastic volatility models," Papers 2409.08377, arXiv.org.
  33. Jang, Jiwook & Qu, Yan & Zhao, Hongbiao & Dassios, Angelos, 2023. "A Cox model for gradually disappearing events," LSE Research Online Documents on Economics 112754, London School of Economics and Political Science, LSE Library.
  34. Dai, Min & Li, Peifan & Zhang, Jin E., 2010. "A lattice algorithm for pricing moving average barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 542-554, March.
  35. Ning Cai & Steven Kou, 2012. "Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model," Operations Research, INFORMS, vol. 60(1), pages 64-77, February.
  36. Runhuan Feng & Hans W. Volkmer, 2015. "Conditional Asian Options," Papers 1505.06946, arXiv.org.
  37. Boguslavskaya, Elena & Vostrikova, Lioudmila, 2020. "Revisiting integral functionals of geometric Brownian motion," Statistics & Probability Letters, Elsevier, vol. 165(C).
  38. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
  39. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
  40. Chueh-Yung Tsao & Chao-Ching Liu, 2012. "Asian Options with Credit Risks: Pricing and Sensitivity Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 96-115, September.
  41. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  42. Michael Schröder, 2015. "Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to Finance," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 285-313, June.
  43. Silvia Lavagnini, 2021. "Pricing Asian Options with Correlators," Papers 2104.11684, arXiv.org.
  44. Vadim Linetsky, 2004. "Spectral Expansions for Asian (Average Price) Options," Operations Research, INFORMS, vol. 52(6), pages 856-867, December.
  45. Dassios, Angelos & Nagaradjasarma, Jayalaxshmi, 2006. "The square-root process and Asian options," LSE Research Online Documents on Economics 2851, London School of Economics and Political Science, LSE Library.
  46. Boyle, Phelim & Potapchik, Alexander, 2008. "Prices and sensitivities of Asian options: A survey," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.
  47. Driouchi, Tarik & Bennett, David & Simpson, Gary, 2010. "A path-dependent contingent-claims approach to capacity investments," European Journal of Operational Research, Elsevier, vol. 201(1), pages 319-323, February.
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