9 citations to https://www.mathnet.ru/rus/tm3579
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Ziqi Lei, Qing Zhou, Weilin Xiao, “Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models”, Communications in Statistics - Simulation and Computation, 2024, 1
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Christian-Oliver Ewald, Yuexiang Wu, Aihua Zhang, “Pricing Asian options with stochastic convenience yield and jumps”, Quantitative Finance, 23:4 (2023), 677
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Christian-Oliver Ewald, Yuexiang Wu, Aihua Zhang, “Pricing Asian Options with Stochastic Convenience Yield and Jumps”, SSRN Journal, 2020
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Y. Song, N. Cai, S. Kou, “Computable error bounds of Laplace inversion for pricing Asian options”, INFORMS J. Comput., 30:4 (2018), 634–645
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H. Funahashi, M. Kijima, “An analytical approximation for pricing VWAP options”, Quant. Financ., 17:7 (2017), 1119–1133
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А. А. Новиков, С. Александер, Н. Е. Кордзахия, Т. Линг, “Оценивание опционов азиатского и баскетного типов с помощью верхних и нижних границ”, Теория вероятн. и ее примен., 61:1 (2016), 53–68 ; A. A. Novikov, S. Alexander, N. E. Kordzahiya, T. Ling, “Pricing of asian-type and basket options via bounds”, Theory Probab. Appl., 61:1 (2017), 94–106
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G. Fusai, I. Kyriakou, “General optimized lower and upper bounds for discrete and continuous arithmetic asian options”, Math. Oper. Res., 41:2 (2016), 531–559
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S. Alexander, A. Novikov, N. Kordzakhia, “Bounds on prices for asian options via Fourier methods”, Anziam J., 57:3 (2016), 299–318
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N. Cai, Y. Song, S. Kou, “A general framework for pricing asian options under Markov processes”, Oper. Res., 63:3 (2015), 540–554