Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning-Reference-Cited by-同舟云学术

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Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning

Published:2021-09-17 Issue:12 Volume:41 Page:1916-1932
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Choe Geon Ho¹,Kim Minseok¹^ORCID

Affiliation:

1. Department of Mathematical Sciences Korea Advanced Institute of Science and Technology (KAIST) Daejeon Republic of Korea

Funder

National Research Foundation of Korea

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22265

Reference36 articles.

1. Pricing Asian options via compound gamma and orthogonal polynomials

2. Valuation and applications of compound basket options

3. Baldi P.(2017). Stochastic calculus. In S. Axler C. Casacuberta A. MacIntyre K. Ribet C. Sabbah E. Süli & W. A. Woyczy (Eds.) Universitext. Springer.https://doi.org/10.1007/978-3-319-62226-2

4. The Pricing of Options and Corporate Liabilities

5. Accurate pricing formulas for Asian options

Cited by 4 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 of discretely sampled arithmetic Asian options, under the Hull–White interest rate model;The North American Journal of Economics and Finance;2024-09

2. Simulating stock prices using geometric Brownian motion model under normal and convoluted distributional assumptions;Scientific African;2023-03

3. Pricing of Discretely Sampled Arithmetic Asian Options Under the Hull-White Interest Rate Model;2023

4. Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach;Journal of Futures Markets;2022-11-23

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