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https://doi.org/10.2139/ssrn.2983939
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A note on pricing Asian derivatives with continuous geometric averaging
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inferredcites →https://doi.org/10.1002/fut.10070openalex-extracted
Analytic approximation formulae for pricing forward‐starting Asian options
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Pricing of moving‐average‐type options with applications
inferredcites →https://doi.org/10.1002/fut.21591openalex-extracted
Recursive Formula for Arithmetic Asian Option Prices
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Introductory Lectures on Fluctuations of Lévy Processes with Applications
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Numerical Solution of Stochastic Differential Equations
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Another look at the integral of exponential Brownian motion and the pricing of Asian options
inferredcites →https://doi.org/10.1016/j.cam.2012.06.015openalex-extracted
Approximations for Asian options in local volatility models
inferredcites →https://doi.org/10.1016/j.ejor.2017.04.007openalex-extracted
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
inferredcites →https://doi.org/10.1016/j.ejor.2017.10.049openalex-extracted
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
inferredcites →https://doi.org/10.1016/j.insmatheco.2017.02.010openalex-extracted
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
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Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices
inferredcites →https://doi.org/10.1016/j.jbankfin.2012.11.001openalex-extracted
Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly
inferredcites →https://doi.org/10.1016/j.jedc.2017.05.001openalex-extracted
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-extracted
The short of it: Investor sentiment and anomalies
inferredcites →https://doi.org/10.1016/s0304-405x(00)00049-0openalex-extracted
The value and incentive effects of nontraditional executive stock option plans
inferredcites →https://doi.org/10.1016/s0304-405x(00)00050-7openalex-extracted
Indexed executive stock options
inferredcites →https://doi.org/10.1080/10920277.2016.1209119openalex-extracted
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
inferredcites →https://doi.org/10.1080/10920277.2017.1307765openalex-extracted
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
inferredcites →https://doi.org/10.1080/14697680903369492openalex-extracted
Efficient and accurate quadratic approximation methods for pricing Asian strike options
inferredcites →https://doi.org/10.1080/14697688.2015.1052838openalex-extracted
Partial differential equations for Asian option prices
inferredcites →https://doi.org/10.1088/1469-7688/4/3/006openalex-extracted
Geometric Asian options: valuation and calibration with stochastic volatility
inferredcites →https://doi.org/10.1093/rfs/hhn004openalex-extracted
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
inferredcites →https://doi.org/10.1111/j.1467-9965.1993.tb00092.xopenalex-extracted
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
inferredcites →https://doi.org/10.1111/mafi.12161openalex-extracted
Error analysis of finite difference and Markov chain approximations for option pricing
inferredcites →https://doi.org/10.1111/sjos.12203openalex-extracted
Exponential Family Techniques for the Lognormal Left Tail
inferredcites →https://doi.org/10.1137/0328056openalex-extracted
Numerical Methods for Stochastic Control Problems in Continuous Time
inferredcites →https://doi.org/10.1137/15m1047568openalex-extracted
Short Maturity Asian Options in Local Volatility Models
inferredcites →https://doi.org/10.1142/s0219024914500472openalex-extracted
AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION
inferredcites →https://doi.org/10.1239/jap/1025131434openalex-extracted
On the equivalence of floating- and fixed-strike Asian options
inferredcites →https://doi.org/10.1287/opre.1040.0113openalex-extracted
Spectral Expansions for Asian (Average Price) Options
inferredcites →https://doi.org/10.1287/opre.2015.1385openalex-extracted
A General Framework for Pricing Asian Options Under Markov Processes
inferredcites →https://doi.org/10.21314/jcf.2001.060openalex-extracted
A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options
inferredcites →https://doi.org/10.21314/jcf.2001.064openalex-extracted
A new PDE approach for pricing arithmetic average Asian options
inferredcites →https://doi.org/10.2139/ssrn.293967openalex-extracted
On the Equivalence of Floating and Fixed-Strike Asian Options
inferredcites →https://doi.org/10.2139/ssrn.3580544openalex-extracted
Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models
inferredcites →https://doi.org/10.2139/ssrn.939447openalex-extracted
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes
inferredcites →https://doi.org/10.2307/1427477openalex-extracted
On some exponential functionals of Brownian motion
inferredcites →https://doi.org/10.2307/2331213openalex-extracted
A Quick Algorithm for Pricing European Average Options
inferredcites →https://doi.org/10.2469/faj.v67.n1.4openalex-extracted
Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly
inferredcites →https://doi.org/10.3905/jod.2014.21.4.103openalex-extracted
Moment-Matching Approximations for Asian Options
inferredcites →https://doi.org/10.3905/jod.2016.23.3.009openalex-extracted
Power Options in Executive Compensation
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