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~person:"Alghalith, Moawia"
~person:"Boyle, Phelim P."
~subject:"Monte Carlo simulation"
~subject:"Optionsgeschäft"
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Alghalith, Moawia
Boyle, Phelim P.
Joshi, Mark S.
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ECONIS (ZBW)
18
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1
A New Price of the Arithmetic Asian Option : A Simple, Explicit Formula
Alghalith, Moawia
-
2023
Persistent link: https://www.econbiz.de/10014254742
Saved in:
2
Exact Pricing of the Arithmetic Asian Options
Alghalith, Moawia
-
2022
We introduce a simple, exact and explicit formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula. Our method is applicable to both the discrete and continuous averages
Persistent link: https://www.econbiz.de/10013311133
Saved in:
3
The Distribution of the Arithmetic Average of Log-Normals and the Price of the Asian Option
Alghalith, Moawia
-
2022
We show that the distribution of the arithmetic, continuous average of log-normal variables is log-normal. We also introduce a simple, explicit formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula
Persistent link: https://www.econbiz.de/10013403986
Saved in:
4
The Distribution of the Sum of Log-normal Variables and Exact Pricing of the Arithmetic Asian Options : A Simple, Explicit Formula
Alghalith, Moawia
-
2020
We overcome a long-standing obstacle in statistics. In doing so, we show that the distribution of the sum of log-normal variables is log-normal. Furthermore, we offer a breakthrough result in finance. In doing so, we introduce a simple, exact and explicit formula for pricing the arithmetic Asian...
Persistent link: https://www.econbiz.de/10012847738
Saved in:
5
Exact Pricing of the Arithmetic Asian Options : A Simple, Explicit Formula
Alghalith, Moawia
-
2020
Persistent link: https://www.econbiz.de/10012850322
Saved in:
6
A New Stopping Time and American Options Model : A Solution to the Free-Boundary Problem
Alghalith, Moawia
-
2019
Persistent link: https://www.econbiz.de/10012906241
Saved in:
7
Pricing the American Options Using the Black-Scholes Pricing Formula
Alghalith, Moawia
-
2018
Persistent link: https://www.econbiz.de/10012932144
Saved in:
8
Simplified option pricing techniques
Alghalith, Moawia
;
Floros, Christos
;
Poufinas, Thomas
- In:
Annals of financial economics
14
(
2019
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012015473
Saved in:
9
Monte Carlo Methods for Pricing Discrete Parisian Options
Bernard, Carole
-
2012
The paper develops an efficient Monte Carlo method to price discretely monitored Parisian options based on a control variate approach. The paper also modifies the Parisian option design by assuming the option is exercised when the barrier condition is met rather than at maturity. We obtain...
Persistent link: https://www.econbiz.de/10013116980
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10
Fixed-Strike European Arithmetic Asian Options : A Comment
Bernard, Carole
-
2009
There is considerable interest in finding numerical methods to price Asian options. Tse and Mok (2009) have proposed a new very simple closed-form expression for the price of a fixed-strike Asian option. Unfortunately their formula is not correct. This note shows that it is incorrect and...
Persistent link: https://www.econbiz.de/10013156054
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