On the public citation graph

Variance Reduction for Asian Options under a General Model Framework

https://doi.org/10.1093/rof/rfu005
0 signed · 72 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/0470870230openalex-snapshot
Lévy Processes in Finance
inferredcites →https://doi.org/10.1002/9781118673355openalex-snapshot
FX Options and Structured Products
inferredcites →https://doi.org/10.1002/fut.20481openalex-snapshot
Pricing average options on commodities
inferredcites →https://doi.org/10.1007/978-0-387-21617-1openalex-snapshot
Monte Carlo Methods in Financial Engineering
inferredcites →https://doi.org/10.1007/978-0-387-69033-9openalex-snapshot
Stochastic Simulation: Algorithms and Analysis
inferredcites →https://doi.org/10.1007/978-0-387-78165-5openalex-snapshot
Monte Carlo and Quasi-Monte Carlo Sampling
inferredcites →https://doi.org/10.1007/s00780-009-0115-yopenalex-snapshot
Gamma expansion of the Heston stochastic volatility model
inferredcites →https://doi.org/10.1007/s10436-005-0013-zopenalex-snapshot
Option pricing and Esscher transform under regime switching
inferredcites →https://doi.org/10.1007/s10436-007-0089-8openalex-snapshot
Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models
inferredcites →https://doi.org/10.1007/s11009-007-9043-5openalex-snapshot
Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation
inferredcites →https://doi.org/10.1016/0378-4266(90)90039-5openalex-snapshot
A pricing method for options based on average asset values
inferredcites →https://doi.org/10.1016/j.csda.2010.07.011openalex-snapshot
Generating generalized inverse Gaussian random variates by fast inversion
inferredcites →https://doi.org/10.1016/j.ejor.2012.03.046openalex-snapshot
A general control variate method for option pricing under Lévy processes
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.03.002openalex-snapshot
Control variates and conditional Monte Carlo for basket and Asian options
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.12.027openalex-snapshot
Pricing discretely monitored Asian options under Lévy processes
inferredcites →https://doi.org/10.1016/j.jbankfin.2013.08.016openalex-snapshot
A General Closed-Form Spread Option Pricing Formula
inferredcites →https://doi.org/10.1016/j.physa.2010.07.026openalex-snapshot
Pricing bounds for discrete arithmetic Asian options under Lévy models
inferredcites →https://doi.org/10.1080/03610918908812785openalex-snapshot
An Easily Implemented Generalised Inverse Gaussian Generator
inferredcites →https://doi.org/10.1080/10920277.2001.10595984openalex-snapshot
A Regime-Switching Model of Long-Term Stock Returns
inferredcites →https://doi.org/10.1080/10920277.2004.10596175openalex-snapshot
Volatility Risk For Regime-Switching Models
inferredcites →https://doi.org/10.1080/14697680400020317openalex-snapshot
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
inferredcites →https://doi.org/10.1080/14697680903397667openalex-snapshot
An Improved Convolution Algorithm for Discretely Sampled Asian Options
inferredcites →https://doi.org/10.1080/14697688.2010.503375openalex-snapshot
On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
inferredcites →https://doi.org/10.1080/14697688.2011.596844openalex-snapshot
Pricing of geometric Asian options under Heston's stochastic volatility model
inferredcites →https://doi.org/10.1080/14697688.2012.696678openalex-snapshot
Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
inferredcites →https://doi.org/10.1080/14697688.2015.1073854openalex-snapshot
General closed-form basket option pricing bounds
inferredcites →https://doi.org/10.1088/1469-7688/4/2/006openalex-snapshot
Pricing Asian options in a semimartingale model
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-snapshot
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00426.xopenalex-snapshot
PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
inferredcites →https://doi.org/10.1137/070680564openalex-snapshot
Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation
inferredcites →https://doi.org/10.1137/110853339openalex-snapshot
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
inferredcites →https://doi.org/10.1142/s0219024902001523openalex-snapshot
AMERICAN OPTIONS WITH REGIME SWITCHING
inferredcites →https://doi.org/10.1145/1667072.1667073openalex-snapshot
Guest editors' introduction to special issue on the first INFORMS simulation society research workshop
inferredcites →https://doi.org/10.1145/1842722.1842723openalex-snapshot
Random variate generation by numerical inversion when only the density is known
inferredcites →https://doi.org/10.1198/073500102317351958openalex-snapshot
Estimation of Continuous-Time Processes via the Empirical Characteristic Function
inferredcites →https://doi.org/10.1198/jasa.2006.s156openalex-snapshot
Quantitative Risk Management: Concepts, Techniques, and Tools
inferredcites →https://doi.org/10.1201/9780203485217openalex-snapshot
Financial Modelling with Jump Processes
inferredcites →https://doi.org/10.1287/mnsc.40.12.1705openalex-snapshot
Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
inferredcites →https://doi.org/10.1287/opre.1050.0247openalex-snapshot
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
inferredcites →https://doi.org/10.1287/opre.40.3.505openalex-snapshot
The Asymptotic Efficiency of Simulation Estimators
inferredcites →https://doi.org/10.1515/156939606777488833openalex-snapshot
An importance sampling method based on the density transformation of Lévy processes
inferredcites →https://doi.org/10.21314/jcf.1999.043openalex-snapshot
Option valuation using the fast Fourier transform
inferredcites →https://doi.org/10.21314/jcf.2001.064openalex-snapshot
A new PDE approach for pricing arithmetic average Asian options
inferredcites →https://doi.org/10.21314/jcf.2007.166openalex-snapshot
An almost exact simulation method for the Heston model
inferredcites →https://doi.org/10.21314/jcf.2008.181openalex-snapshot
Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
inferredcites →https://doi.org/10.21314/jcf.2008.189openalex-snapshot
Simple and efficient simulation of the Heston stochastic volatility model
inferredcites →https://doi.org/10.21314/jcf.2010.212openalex-snapshot
Generalized control variate methods for pricing Asian options
inferredcites →https://doi.org/10.2139/ssrn.2144141openalex-snapshot
Structured Life Insurance Products: A Survey
inferredcites →https://doi.org/10.2139/ssrn.675202openalex-snapshot
Estimation of Jump-Diffusion Processes Via Empirical Characteristic Functions
inferredcites →https://doi.org/10.2139/ssrn.770785openalex-snapshot
Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions
inferredcites →https://doi.org/10.2307/1911242openalex-snapshot
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.5555/1161734.1162031openalex-snapshot
Exact simulation of option greeks under stochastic volatility and jump diffusion models
inferredcites →https://doi.org/10.82444/warw.33599494openalex-snapshot
Monte Carlo methods in derivative modelling

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3176932openalex-extracted
Closed-form Solutions for Fixed-Strike Arithmetic Asian Options
inferred← citeshttps://doi.org/10.1002/fut.22265openalex-snapshot
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning
inferred← citeshttps://doi.org/10.1007/s10436-020-00366-0openalex-snapshot
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
inferred← citeshttps://doi.org/10.1007/s10915-023-02438-5openalex-snapshot
Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps
inferred← citeshttps://doi.org/10.1016/j.ejor.2016.08.060openalex-snapshot
A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance
inferred← citeshttps://doi.org/10.1016/j.ejor.2020.01.043openalex-snapshot
A general control variate method for Lévy models in finance
inferred← citeshttps://doi.org/10.1016/j.ejor.2020.04.022openalex-snapshot
General multilevel Monte Carlo methods for pricing discretely monitored Asian options
inferred← citeshttps://doi.org/10.1016/j.eneco.2025.108586openalex-snapshot
Seasonality and spikes in the natural gas market
inferred← citeshttps://doi.org/10.1080/00207160.2018.1442925openalex-snapshot
Least-square-based control variate method for pricing options under general factor models
inferred← citeshttps://doi.org/10.1080/00207160.2019.1566536openalex-snapshot
Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
inferred← citeshttps://doi.org/10.1080/00207160.2019.1577399openalex-snapshot
An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
inferred← citeshttps://doi.org/10.1080/14697688.2016.1211798openalex-snapshot
Jumps and stochastic volatility in crude oil prices and advances in average option pricing
inferred← citeshttps://doi.org/10.1109/wsc.2014.7019910openalex-snapshot
Improved Monte Carlo and quasi-Monte Carlo methods for the price and the Greeks of Asian options
inferred← citeshttps://doi.org/10.1137/18m1173472openalex-snapshot
Optimizing Adaptive Importance Sampling by Stochastic Approximation
inferred← citeshttps://doi.org/10.1137/21m1430996openalex-snapshot
Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
inferred← citeshttps://doi.org/10.3934/jdg.2019004openalex-snapshot
On the pricing of Asian options with geometric average of American type with stochastic interest rate: A stochastic optimal control approach
inferred← citeshttps://doi.org/10.47473/2020rmm0119openalex-snapshot
inferred← citeshttps://doi.org/10.47473/2020rmm0121openalex-snapshot
Implementation of variance reduction techniques applied to the pricing of investment certificates
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.