Exact Pricing of the Arithmetic Asian Options: A Simple Formula
Author:
Publisher
Elsevier BV
Reference13 articles.
1. Pricing Asian options via compound gamma and orthogonal polynomials;H Aprahamian;Applied Mathematics and Computation,2015
2. Orthonormal Polynomial Expansions and Lognormal Sum Densities
3. An improved convolution algorithm for discretely sampled Asian options;A Cerny;Quantitative Finance,2011
4. A general framework for pricing Asian options under stochastic volatility on parallel architectures;S Corsaro;European Journal of Operational Research,2019
5. Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes;Z Cui;European Journal of Operational Research,2018
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