Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes-Reference-Cited by-同舟云学术

Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

Published:2018-05 Issue:3 Volume:266 Page:1134-1139
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Cui Zhenyu^ORCID,Lee Chihoon,Liu Yanchu^ORCID

Funder

Army Research Office

National Natural Science Foundation of China

Natural Science Foundation of Guangdong Province of China

Innovative Research Team Project of Guangdong Province of China

Fundamental Research Funds for the Central Universities

Lingnan (University) College and Advanced Research Institute of Finance at Sun Yat-sen University

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference20 articles.

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2. Bounds for the price of a European-style asian option in a binary tree model.;Bandi;European Journal of Operational Research,2014

3. Pricing asian options under a hyper-exponential jump diffusion model.;Cai;Operations Research,2012

4. Closed-form expansions of discretely monitored asian options in diffusion models.;Cai;Mathematics of Operations Research,2014

5. A general framework for pricing asian options under Markov processes.;Cai;Operations Research,2015

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