Analytic Approximations for Generalized Asian Options

2011 ◽  
Author(s):  
Min-Teh Yu
Keyword(s):  
Asian Options ◽  
Analytic Approximations

A new PDE approach for pricing arithmetic average Asian options

2001 ◽  
Vol 4 (4) ◽  
pp. 105-113 ◽  
Author(s):  
Jan Vecer
Keyword(s):  
Asian Options ◽  
Arithmetic Average

Efficient pricing of Asian options by the PDE approach

2004 ◽  
Vol 8 (2) ◽  
pp. 55-63 ◽  
Author(s):  
François Dubois ◽  
Tony Lelièvre
Keyword(s):  
Asian Options

Robust numerical methods for PDE models of Asian options

1997 ◽  
Vol 1 (2) ◽  
pp. 39-78 ◽  
Author(s):  
R Zvan ◽  
Peter Forsyth ◽  
K Vetzal
Keyword(s):  
Numerical Methods ◽  
Asian Options

Fixed-Strike European Arithmetic Asian Options: A Comment

2009 ◽  
Author(s):  
Carole Bernard ◽  
Phelim P. Boyle ◽  
William Gornall
Keyword(s):  
Asian Options

Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL

2011 ◽  
Author(s):  
Carol Alexander ◽  
Emese Lazar ◽  
Silvia Stanescu
Keyword(s):  
Analytic Approximations

Small Dimension PDE for Discrete Asian Options

2001 ◽  
Author(s):  
Eric Benhamou ◽  
Alexandre Duguet
Keyword(s):  
Small Dimension ◽  
Asian Options

Double Spiral Method, Gamma Transform and Pricing Arithmetic Asian Options

2016 ◽  
Author(s):  
Sergei Levendorskii
Keyword(s):  
Asian Options ◽  
Double Spiral

Pricing Asian Options Using Path Bundling

2001 ◽  
Author(s):  
Edwin H. Neave ◽  
George L. Ye
Keyword(s):  
Asian Options

Pricing Asian Options with Stochastic Convenience Yield and Jumps

2020 ◽  
Author(s):  
Christian-Oliver Ewald ◽  
Yuexiang Wu ◽  
Aihua Zhang
Keyword(s):  
Asian Options ◽  
Convenience Yield ◽  
Stochastic Convenience Yield
Sign in / Sign up

Export Citation Format

Share Document