The pricing of discretely sampled Asian and lookback options: a change of numeraire approach
Author:
Publisher
Infopro Digital Services Limited
Subject
Applied Mathematics,Computer Science Applications,Finance
Cited by 45 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. Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps;Journal of Scientific Computing;2024-01-17
2. A transform-based method for pricing Asian options under general two-dimensional models;Quantitative Finance;2023-09-26
3. An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting;International Journal of Computer Mathematics;2019-02-11
4. Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space;SIAM Journal on Financial Mathematics;2018-01
5. A PIDE and Closed-Form Fourier Pricing Expression for Look-Back Option Under LLvy Process;SSRN Electronic Journal;2018
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