A new PDE approach for pricing arithmetic average Asian options
Author:
Publisher
Infopro Digital Services Limited
Subject
Applied Mathematics,Computer Science Applications,Finance
Cited by 204 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Some asymptotics for short maturity Asian options;Stochastic Models;2024-09-05
2. Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model;The North American Journal of Economics and Finance;2024-09
3. High-order accurate variable time step compact schemes for pricing vanilla and exotic options;Journal of Applied Mathematics and Computing;2024-05-21
4. Asymptotics for short maturity Asian options in jump-diffusion models with local volatility;Quantitative Finance;2024-03-21
5. Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps;Journal of Scientific Computing;2024-01-17
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