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  • Search: subject:"Arithmetic Asian options"
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Subject
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Option pricing theory 7 Option trading 7 Optionsgeschäft 7 Optionspreistheorie 7 Stochastic process 4 Stochastischer Prozess 4 arithmetic Asian options 4 Arithmetic Asian options 3 Fourier transform 2 Lévy processes 2 Volatility 2 Volatilität 2 Black-Scholes model 1 Black-Scholes-Modell 1 CEV diffusion 1 CEV proces 1 Characteristic functions 1 Commodity derivative 1 Derivat 1 Derivative 1 Discrete arithmetic Asian options 1 Energiemarkt 1 Energiepreis 1 Energy market 1 Energy price 1 Exotic options 1 Extended double spiral method 1 Fast Fourier transform 1 Forward measure 1 Hedging 1 Hull-White model 1 Joint Fourier and Laplace transforms 1 Jump diffusion CIR processes 1 Lévy subordinator 1 Moment-matching method 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Rohstoffderivat 1 Two-dimensional models 1 Yield curve 1
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Undetermined 5 Free 3
Type of publication
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Article 8
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7
Language
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English 7 Undetermined 1
Author
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Kyriakou, Ioannis 3 Ballotta, Laura 1 Fusai, Gianluca 1 Gerrard, Russell 1 Jang, Hyun Jin 1 Jang, Jiwook 1 Kim, Bara 1 Kim, Jeongsim 1 Lee, Jinyoung 1 Liu, Allen 1 Nomikos, Nikos K. 1 Papapostolou, Nikos C. 1 Park, Jong Jun 1 Peng, Bin 1 Peng, Fei 1 Pouliasis, Panos K. 1 Tong, Zhigang 1 Yoon, Hyungkuk 1 Zeng, Pingping 1 Zhang, Weinan 1
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Published in...
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European financial management : the journal of the European Financial Management Association 1 Finance research letters 1 International journal of financial engineering 1 Journal of Economics, Finance and Administrative Science 1 Mathematics of operations research 1 Quantitative finance 1 The European journal of finance 1 The North American journal of economics and finance : a journal of theory and practice 1
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Source
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ECONIS (ZBW) 7 RePEc 1
Showing 1 - 8 of 8
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Pricing of discretely sampled arithmetic Asian options, under the Hull-White interest rate model
Kim, Bara; Kim, Jeongsim; Yoon, Hyungkuk; Lee, Jinyoung - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015135005
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A transform-based method for pricing Asian options under general two-dimensional models
Zhang, Weinan; Zeng, Pingping - In: Quantitative finance 23 (2023) 11, pp. 1677-1697
Persistent link: https://www.econbiz.de/10014419186
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Pricing arithmetic Asian options under jump diffusion CIR processes
Park, Jong Jun; Jang, Hyun Jin; Jang, Jiwook - In: Finance research letters 34 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012436988
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Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change
Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 5 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011922948
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Hedging of Asian options under exponential Lévy models : computation and performance
Ballotta, Laura; Gerrard, Russell; Kyriakou, Ioannis - In: The European journal of finance 23 (2017) 4/6, pp. 297-323
Persistent link: https://www.econbiz.de/10011736257
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General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca; Kyriakou, Ioannis - In: Mathematics of operations research 41 (2016) 2, pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
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Affine-structure models and the pricing of energy commodity derivatives
Kyriakou, Ioannis; Nomikos, Nikos K.; Papapostolou, Nikos C. - In: European financial management : the journal of the … 22 (2016) 5, pp. 853-881
Persistent link: https://www.econbiz.de/10011713164
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PRICING ARITHMETIC ASIAN OPTIONS UNDER THE CEV PROCESS
Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 15 (2010) 29, pp. 7-13
This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity … arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present … Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems …
Persistent link: https://www.econbiz.de/10009319493
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