Pirjol, Dan Subleading correction to the Asian options volatility in the Black-Scholes model. (English) Zbl 1521.91363 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350005, 19 p. (2023). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{D. Pirjol}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350005, 19 p. (2023; Zbl 1521.91363) Full Text: DOI
Murzintseva, A. A.; Pergamenchtchikov, S. M.; Pchelintsev, E. A. Hedging problem for Asian call options with transaction costs. (English. Russian original) Zbl 1520.91406 Theory Probab. Appl. 68, No. 2, 211-230 (2023); translation from Teor. Veroyatn. Primen. 68, No. 2, 253-276 (2023). MSC: 91G20 PDF BibTeX XML Cite \textit{A. A. Murzintseva} et al., Theory Probab. Appl. 68, No. 2, 211--230 (2023; Zbl 1520.91406); translation from Teor. Veroyatn. Primen. 68, No. 2, 253--276 (2023) Full Text: DOI
Hudde, Anselm; Rüschendorf, Ludger European and Asian Greeks for exponential Lévy processes. (English) Zbl 1520.91402 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 39, 24 p. (2023). MSC: 91G20 60J70 60H07 60G51 91G60 PDF BibTeX XML Cite \textit{A. Hudde} and \textit{L. Rüschendorf}, Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 39, 24 p. (2023; Zbl 1520.91402) Full Text: DOI arXiv
Chen, Yong; Hu, Ruizi \(L^\infty\)-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing. (English) Zbl 07705626 Int. J. Comput. Math. 100, No. 6, 1373-1394 (2023). MSC: 65R20 45K05 91G60 91G20 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{R. Hu}, Int. J. Comput. Math. 100, No. 6, 1373--1394 (2023; Zbl 07705626) Full Text: DOI
Ewald, Christian-Oliver; Wu, Yuexiang; Zhang, Aihua Pricing Asian options with stochastic convenience yield and jumps. (English) Zbl 1519.91256 Quant. Finance 23, No. 4, 677-692 (2023). MSC: 91G20 60J74 PDF BibTeX XML Cite \textit{C.-O. Ewald} et al., Quant. Finance 23, No. 4, 677--692 (2023; Zbl 1519.91256) Full Text: DOI
Pagliarani, Stefano; Polidoro, Sergio A Yosida’s parametrix approach to Varadhan’s estimates for a degenerate diffusion under the weak Hörmander condition. (English) Zbl 1498.91457 J. Math. Anal. Appl. 517, No. 1, Article ID 126538, 42 p. (2023). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{S. Pagliarani} and \textit{S. Polidoro}, J. Math. Anal. Appl. 517, No. 1, Article ID 126538, 42 p. (2023; Zbl 1498.91457) Full Text: DOI arXiv
Hu, Lina Efficient spectral-Galerkin method for pricing Asian options. (English) Zbl 07663588 J. Math. Study 55, No. 4, 358-380 (2022). MSC: 65M70 65M12 65M15 42C10 65M06 65N35 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{L. Hu}, J. Math. Study 55, No. 4, 358--380 (2022; Zbl 07663588) Full Text: DOI
Brignone, Riccardo Moments of integrated exponential Lévy processes and applications to Asian options pricing. (English) Zbl 1500.91132 Quant. Finance 22, No. 9, 1717-1729 (2022). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{R. Brignone}, Quant. Finance 22, No. 9, 1717--1729 (2022; Zbl 1500.91132) Full Text: DOI
Roul, Pradip A robust numerical technique and its analysis for computing the price of an Asian option. (English) Zbl 1492.91431 J. Comput. Appl. Math. 416, Article ID 114527, 16 p. (2022). MSC: 91G60 65M70 65D07 65M12 65M15 91G20 PDF BibTeX XML Cite \textit{P. Roul}, J. Comput. Appl. Math. 416, Article ID 114527, 16 p. (2022; Zbl 1492.91431) Full Text: DOI
Chen, Yong Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models. (English) Zbl 1485.91250 Numer. Algorithms 89, No. 4, 1823-1843 (2022). MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{Y. Chen}, Numer. Algorithms 89, No. 4, 1823--1843 (2022; Zbl 1485.91250) Full Text: DOI
Pigato, Paolo Density estimates and short-time asymptotics for a hypoelliptic diffusion process. (English) Zbl 1480.60170 Stochastic Processes Appl. 145, 117-142 (2022). MSC: 60H10 60H30 60H07 60J60 60F05 91G20 PDF BibTeX XML Cite \textit{P. Pigato}, Stochastic Processes Appl. 145, 117--142 (2022; Zbl 1480.60170) Full Text: DOI arXiv
Malhotra, Gifty; Srivastava, R.; Taneja, H. C. Pricing of the geometric Asian options under a multifactor stochastic volatility model. (English) Zbl 1490.91219 J. Comput. Appl. Math. 406, Article ID 113986, 19 p. (2022). MSC: 91G20 35Q91 35R60 60H15 60H30 91G60 PDF BibTeX XML Cite \textit{G. Malhotra} et al., J. Comput. Appl. Math. 406, Article ID 113986, 19 p. (2022; Zbl 1490.91219) Full Text: DOI arXiv
Nándori, Péter; Pirjol, Dan On the distribution of the time-integral of the geometric Brownian motion. (English) Zbl 1475.60153 J. Comput. Appl. Math. 402, Article ID 113818, 17 p. (2022). MSC: 60J65 91G20 PDF BibTeX XML Cite \textit{P. Nándori} and \textit{D. Pirjol}, J. Comput. Appl. Math. 402, Article ID 113818, 17 p. (2022; Zbl 1475.60153) Full Text: DOI
Roul, Pradip; Prasad Goura, V. M. K. An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options. (English) Zbl 1471.91620 J. Comput. Appl. Math. 401, Article ID 113774, 17 p. (2022). MSC: 91G60 65M70 91G20 PDF BibTeX XML Cite \textit{P. Roul} and \textit{V. M. K. Prasad Goura}, J. Comput. Appl. Math. 401, Article ID 113774, 17 p. (2022; Zbl 1471.91620) Full Text: DOI
Gao, Rong; Wu, Wei; Liu, Jie Asian rainbow option pricing formulas of uncertain stock model. (English) Zbl 1498.91439 Soft Comput. 25, No. 14, 8849-8873 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{R. Gao} et al., Soft Comput. 25, No. 14, 8849--8873 (2021; Zbl 1498.91439) Full Text: DOI
Desmettre, Sascha; Wenzel, Jörg On the valuation of discrete Asian options in high volatility environments. (English) Zbl 1501.91180 Appl. Math. Finance 28, No. 6, 508-533 (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65D30 91G20 PDF BibTeX XML Cite \textit{S. Desmettre} and \textit{J. Wenzel}, Appl. Math. Finance 28, No. 6, 508--533 (2021; Zbl 1501.91180) Full Text: DOI
Wang, Wei; Cai, Guanghui; Tao, Xiangxing Pricing geometric Asian power options in the sub-fractional Brownian motion environment. (English) Zbl 1494.91164 Chaos Solitons Fractals 145, Article ID 110754, 6 p. (2021). MSC: 91G20 91G60 65C05 PDF BibTeX XML Cite \textit{W. Wang} et al., Chaos Solitons Fractals 145, Article ID 110754, 6 p. (2021; Zbl 1494.91164) Full Text: DOI
Jin, Ting; Ding, Hui; Xia, Hongxuan; Bao, Jinfeng Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type. (English) Zbl 1496.91101 Chaos Solitons Fractals 142, Article ID 110409, 23 p. (2021). MSC: 91G60 91G20 34A08 60H30 PDF BibTeX XML Cite \textit{T. Jin} et al., Chaos Solitons Fractals 142, Article ID 110409, 23 p. (2021; Zbl 1496.91101) Full Text: DOI
Lavagnini, Silvia Pricing Asian options with correlators. (English) Zbl 1484.91480 Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021). MSC: 91G20 33C45 60J74 PDF BibTeX XML Cite \textit{S. Lavagnini}, Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021; Zbl 1484.91480) Full Text: DOI arXiv
Capuozzo, Pietro; Panella, Emanuele; Schettini Gherardini, Tancredi; Vvedensky, Dimitri D. Path integral Monte Carlo method for option pricing. (English) Zbl 1492.91419 Physica A 581, Article ID 126231, 12 p. (2021). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{P. Capuozzo} et al., Physica A 581, Article ID 126231, 12 p. (2021; Zbl 1492.91419) Full Text: DOI
Yu, Wenming; Wang, Aiyin The gradual method of Asian option pricing based on CEV expansion model. (Chinese. English summary) Zbl 1488.91146 Math. Pract. Theory 51, No. 11, 181-189 (2021). MSC: 91G20 60G22 35Q91 PDF BibTeX XML Cite \textit{W. Yu} and \textit{A. Wang}, Math. Pract. Theory 51, No. 11, 181--189 (2021; Zbl 1488.91146)
Ding, Yi; Guo, Jingjun Pricing Asian options under time-changed mixed fractional Brownian motion with transactions costs. (Chinese. English summary) Zbl 1488.91135 Acta Math. Sci., Ser. A, Chin. Ed. 41, No. 4, 1135-1146 (2021). MSC: 91G20 91G80 60G22 PDF BibTeX XML Cite \textit{Y. Ding} and \textit{J. Guo}, Acta Math. Sci., Ser. A, Chin. Ed. 41, No. 4, 1135--1146 (2021; Zbl 1488.91135)
Haug, Espen Gaarder Asian options with zero cost-of-carry: EEX options on freight and iron ore futures. (English) Zbl 1467.91186 Decis. Econ. Finance 44, No. 1, 191-195 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{E. G. Haug}, Decis. Econ. Finance 44, No. 1, 191--195 (2021; Zbl 1467.91186) Full Text: DOI
Bäuerle, Nicole; Schmithals, Daniel Consistent upper price bounds for exotic options. (English) Zbl 1466.91324 Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150011, 29 p. (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{N. Bäuerle} and \textit{D. Schmithals}, Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150011, 29 p. (2021; Zbl 1466.91324) Full Text: DOI arXiv
Wang, Xingchun Analytical valuation of vulnerable European and Asian options in intensity-based models. (English) Zbl 1461.91322 J. Comput. Appl. Math. 393, Article ID 113412, 23 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G20 91G30 91G45 PDF BibTeX XML Cite \textit{X. Wang}, J. Comput. Appl. Math. 393, Article ID 113412, 23 p. (2021; Zbl 1461.91322) Full Text: DOI
Lin, Y.-T.; Shih, Y.-T.; Chien, C.-S.; Sheng, Q. A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing. (English) Zbl 1488.91160 Appl. Math. Comput. 393, Article ID 125764, 14 p. (2021). MSC: 91G60 65C99 91G20 41A10 PDF BibTeX XML Cite \textit{Y. T. Lin} et al., Appl. Math. Comput. 393, Article ID 125764, 14 p. (2021; Zbl 1488.91160) Full Text: DOI
Bahl, Raj Kumari; Sabanis, Sotirios Model-independent price bounds for catastrophic mortality bonds. (English) Zbl 1460.91209 Insur. Math. Econ. 96, 276-291 (2021). MSC: 91G05 91G20 60G44 PDF BibTeX XML Cite \textit{R. K. Bahl} and \textit{S. Sabanis}, Insur. Math. Econ. 96, 276--291 (2021; Zbl 1460.91209) Full Text: DOI arXiv
Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 1460.91213 Insur. Math. Econ. 96, 232-247 (2021). MSC: 91G05 91G20 60J70 PDF BibTeX XML Cite \textit{R. Brignone} et al., Insur. Math. Econ. 96, 232--247 (2021; Zbl 1460.91213) Full Text: DOI
Noorani, Idin; Mehrdoust, Farshid; Nasroallah, Abdelaziz A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model. (English) Zbl 07318206 Math. Comput. Simul. 181, 1-15 (2021). MSC: 91G60 91G20 65C05 PDF BibTeX XML Cite \textit{I. Noorani} et al., Math. Comput. Simul. 181, 1--15 (2021; Zbl 07318206) Full Text: DOI
Ahmadian, D.; Ballestra, L. V. Pricing geometric Asian rainbow options under the mixed fractional Brownian motion. (English) Zbl 1498.91490 Physica A 555, Article ID 124458, 14 p. (2020). MSC: 91G60 35Q91 91G30 PDF BibTeX XML Cite \textit{D. Ahmadian} and \textit{L. V. Ballestra}, Physica A 555, Article ID 124458, 14 p. (2020; Zbl 1498.91490) Full Text: DOI
Guo, Zhidong; Wang, Xianhong; Zhang, Yunliang Option pricing of geometric Asian options in a subdiffusive Brownian motion regime. (English) Zbl 1484.91477 AIMS Math. 5, No. 5, 5332-5343 (2020). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{Z. Guo} et al., AIMS Math. 5, No. 5, 5332--5343 (2020; Zbl 1484.91477) Full Text: DOI
Guo, Peidong; Zhang, Jizhou; Wang, Qian Path-dependent game options with Asian features. (English) Zbl 1496.91084 Chaos Solitons Fractals 141, Article ID 110412, 11 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{P. Guo} et al., Chaos Solitons Fractals 141, Article ID 110412, 11 p. (2020; Zbl 1496.91084) Full Text: DOI
Kahalé, Nabil General multilevel Monte Carlo methods for pricing discretely monitored Asian options. (English) Zbl 1487.91164 Eur. J. Oper. Res. 287, No. 2, 739-748 (2020). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{N. Kahalé}, Eur. J. Oper. Res. 287, No. 2, 739--748 (2020; Zbl 1487.91164) Full Text: DOI arXiv
Kirkby, J. Lars; Nguyen, Duy Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (English) Zbl 1461.91315 Ann. Finance 16, No. 3, 307-351 (2020). MSC: 91G20 60G51 60J28 60G40 PDF BibTeX XML Cite \textit{J. L. Kirkby} and \textit{D. Nguyen}, Ann. Finance 16, No. 3, 307--351 (2020; Zbl 1461.91315) Full Text: DOI
Kashtanov, Yuriĭ Nikolaevich; Fedyaev, Igor’ Pavlovich Stochastic mesh method for optimal stopping problems. (English. Russian original) Zbl 1460.62134 Vestn. St. Petersbg. Univ., Math. 53, No. 3, 287-294 (2020); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 7(65), No. 3, 425-434 (2020). MSC: 62L15 62L20 60G40 65N50 62P05 PDF BibTeX XML Cite \textit{Y. N. Kashtanov} and \textit{I. P. Fedyaev}, Vestn. St. Petersbg. Univ., Math. 53, No. 3, 287--294 (2020; Zbl 1460.62134); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 7(65), No. 3, 425--434 (2020) Full Text: DOI
Ma, Jingtang; Wang, Han; Zhou, Zhiqiang; Tan, Zhijun High-order methods for exotic options and Greeks under regime-switching jump-diffusion models. (English) Zbl 1463.91160 Numer. Math., Theory Methods Appl. 13, No. 2, 497-515 (2020). MSC: 91G20 91G60 91G80 35Q91 PDF BibTeX XML Cite \textit{J. Ma} et al., Numer. Math., Theory Methods Appl. 13, No. 2, 497--515 (2020; Zbl 1463.91160) Full Text: DOI
Yang, Yue; Wang, Yongmao Asian option pricing under sub-fractional Brownian motion with jump. (Chinese. English summary) Zbl 1463.91176 Math. Pract. Theory 50, No. 13, 131-140 (2020). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{Y. Wang}, Math. Pract. Theory 50, No. 13, 131--140 (2020; Zbl 1463.91176)
Laham, M. F.; Ibrahim, S. N. I.; Kilicman, A. Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process. (English) Zbl 1455.91273 Malays. J. Math. Sci. 14, No. 1, 1-15 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65D30 91G20 60J74 PDF BibTeX XML Cite \textit{M. F. Laham} et al., Malays. J. Math. Sci. 14, No. 1, 1--15 (2020; Zbl 1455.91273) Full Text: Link
Hozman, Jiří; Tichý, Tomáš The discontinuous Galerkin method for discretely observed Asian options. (English) Zbl 1448.91324 Math. Methods Appl. Sci. 43, No. 13, 7726-7746 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M60 91G20 35Q91 91G80 PDF BibTeX XML Cite \textit{J. Hozman} and \textit{T. Tichý}, Math. Methods Appl. Sci. 43, No. 13, 7726--7746 (2020; Zbl 1448.91324) Full Text: DOI
Roul, Pradip A fourth order numerical method based on B-spline functions for pricing Asian options. (English) Zbl 1446.65133 Comput. Math. Appl. 80, No. 3, 504-521 (2020). MSC: 65M70 65M06 65N35 65D07 65M12 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{P. Roul}, Comput. Math. Appl. 80, No. 3, 504--521 (2020; Zbl 1446.65133) Full Text: DOI
Yao, Nian; Ling, Zhichao; Zhang, Jieyu; Xiao, Mingqing Short maturity conditional Asian options in local volatility models. (English) Zbl 1437.91437 Math. Financ. Econ. 14, No. 2, 307-328 (2020). MSC: 91G20 91G80 60F10 PDF BibTeX XML Cite \textit{N. Yao} et al., Math. Financ. Econ. 14, No. 2, 307--328 (2020; Zbl 1437.91437) Full Text: DOI
Brignone, Riccardo; Sgarra, Carlo Asian options pricing in Hawkes-type jump-diffusion models. (English) Zbl 1433.91170 Ann. Finance 16, No. 1, 101-119 (2020). MSC: 91G20 60G55 60J76 PDF BibTeX XML Cite \textit{R. Brignone} and \textit{C. Sgarra}, Ann. Finance 16, No. 1, 101--119 (2020; Zbl 1433.91170) Full Text: DOI
Ma, Jingtang; Wang, Han Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing. (English) Zbl 1447.65029 J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020). Reviewer: Srinivasan Natesan (Assam) MSC: 65M06 65M12 91G60 35R09 45K05 91G20 35R37 65M15 PDF BibTeX XML Cite \textit{J. Ma} and \textit{H. Wang}, J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020; Zbl 1447.65029) Full Text: DOI
Gambaro, Anna Maria; Kyriakou, Ioannis; Fusai, Gianluca General lattice methods for arithmetic Asian options. (English) Zbl 1431.91432 Eur. J. Oper. Res. 282, No. 3, 1185-1199 (2020). MSC: 91G60 60H30 91G20 PDF BibTeX XML Cite \textit{A. M. Gambaro} et al., Eur. J. Oper. Res. 282, No. 3, 1185--1199 (2020; Zbl 1431.91432) Full Text: DOI Link
Dhaene, Jan; Kukush, Alexander; Linders, Daniël Comonotonic asset prices in arbitrage-free markets. (English) Zbl 1430.91108 J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Dhaene} et al., J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020; Zbl 1430.91108) Full Text: DOI Link
Pirjol, Dan; Zhu, Lingjiong Short maturity Asian options for the CEV model. (English) Zbl 1508.91569 Probab. Eng. Inf. Sci. 33, No. 2, 258-290 (2019). MSC: 91G20 60F10 PDF BibTeX XML Cite \textit{D. Pirjol} and \textit{L. Zhu}, Probab. Eng. Inf. Sci. 33, No. 2, 258--290 (2019; Zbl 1508.91569) Full Text: DOI arXiv
Lu, Ziqiang; Zhu, Yuanguo; Li, Bo Critical value-based Asian option pricing model for uncertain financial markets. (English) Zbl 07565816 Physica A 525, 694-703 (2019). MSC: 82-XX PDF BibTeX XML Cite \textit{Z. Lu} et al., Physica A 525, 694--703 (2019; Zbl 07565816) Full Text: DOI
Xu, Chenglong; Yang, Feng; Sun, Yongchao An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting. (English) Zbl 1513.91104 Int. J. Comput. Math. 96, No. 12, 2522-2532 (2019). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{C. Xu} et al., Int. J. Comput. Math. 96, No. 12, 2522--2532 (2019; Zbl 1513.91104) Full Text: DOI
Li, Zhen; Xu, Hong-Kun Pricing of fixed-strike arithmetic Asian powered options. (English) Zbl 1472.91046 J. Nonlinear Convex Anal. 20, No. 2, 307-320 (2019). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{Z. Li} and \textit{H.-K. Xu}, J. Nonlinear Convex Anal. 20, No. 2, 307--320 (2019; Zbl 1472.91046) Full Text: Link
Yang, Xiangfeng; Zhang, Zhiqiang; Gao, Xin Asian-barrier option pricing formulas of uncertain financial market. (English) Zbl 1448.91301 Chaos Solitons Fractals 123, 79-86 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Yang} et al., Chaos Solitons Fractals 123, 79--86 (2019; Zbl 1448.91301) Full Text: DOI
Zhang, Sumei; Gao, Xiong An asymptotic expansion method for geometric Asian options pricing under the double Heston model. (English) Zbl 1448.91305 Chaos Solitons Fractals 127, 1-9 (2019). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{S. Zhang} and \textit{X. Gao}, Chaos Solitons Fractals 127, 1--9 (2019; Zbl 1448.91305) Full Text: DOI
Sun, Yudong; Tian, Jingren; Chen, Ying Pricing of arithmetic average Asian option under the fractional jump diffusion Heston model. (Chinese. English summary) Zbl 1449.91160 J. Hangzhou Norm. Univ., Nat. Sci. 18, No. 6, 629-635 (2019). MSC: 91G20 60J70 60J74 60G22 PDF BibTeX XML Cite \textit{Y. Sun} et al., J. Hangzhou Norm. Univ., Nat. Sci. 18, No. 6, 629--635 (2019; Zbl 1449.91160)
Hu, Pan A numerical solution of the pricing model of Asian options under sub-fractional jump-diffusion process. (Chinese. English summary) Zbl 1449.65183 J. Yunnan Minzu Univ., Nat. Sci. 28, No. 5, 462-469 (2019). MSC: 65M06 91G20 91G30 35R11 26A33 91G60 60J65 91B24 PDF BibTeX XML Cite \textit{P. Hu}, J. Yunnan Minzu Univ., Nat. Sci. 28, No. 5, 462--469 (2019; Zbl 1449.65183)
Alòs, Elisa; León, Jorge A. A note on the implied volatility of floating strike Asian options. (English) Zbl 1432.91118 Decis. Econ. Finance 42, No. 2, 743-758 (2019). MSC: 91G20 60H07 91G60 PDF BibTeX XML Cite \textit{E. Alòs} and \textit{J. A. León}, Decis. Econ. Finance 42, No. 2, 743--758 (2019; Zbl 1432.91118) Full Text: DOI
Lee, Sunju; Lee, Younhee IMEX methods for pricing fixed strike Asian options with jump-diffusion models. (English) Zbl 1429.91323 East Asian Math. J. 35, No. 1, 59-66 (2019). MSC: 91G20 91G60 60J76 35R09 PDF BibTeX XML Cite \textit{S. Lee} and \textit{Y. Lee}, East Asian Math. J. 35, No. 1, 59--66 (2019; Zbl 1429.91323) Full Text: DOI Link
Spichak, S. V.; Stogniĭ, V. I.; Kopas’, I. M. Symmetry properties and exact solutions of \((2+1)\)-dimensional linear equation of pricing of Asian options. (Ukrainian. English summary) Zbl 1438.91157 Zb. Pr. Inst. Mat. NAN Ukr. 16, No. 1, 164-173 (2019). Reviewer: V. M. Boĭko (Kyïv) MSC: 91G20 35C05 35Q91 PDF BibTeX XML Cite \textit{S. V. Spichak} et al., Zb. Pr. Inst. Mat. NAN Ukr. 16, No. 1, 164--173 (2019; Zbl 1438.91157)
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong Short maturity forward start Asian options in local volatility models. (English) Zbl 1426.91274 Appl. Math. Finance 26, No. 3, 187-221 (2019). MSC: 91G20 60F10 PDF BibTeX XML Cite \textit{D. Pirjol} et al., Appl. Math. Finance 26, No. 3, 187--221 (2019; Zbl 1426.91274) Full Text: DOI arXiv
Martínez-Palacios, María Teresa V.; Hernández-Del-Valle, Adrián; Ortiz-Ramírez, Ambrosio On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach. (English) Zbl 1425.91406 J. Dyn. Games 6, No. 1, 53-64 (2019). MSC: 91G20 60G40 91G30 93E20 91G10 PDF BibTeX XML Cite \textit{M. T. V. Martínez-Palacios} et al., J. Dyn. Games 6, No. 1, 53--64 (2019; Zbl 1425.91406) Full Text: DOI
Willems, Sander Asian option pricing with orthogonal polynomials. (English) Zbl 1420.91481 Quant. Finance 19, No. 4, 605-618 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Willems}, Quant. Finance 19, No. 4, 605--618 (2019; Zbl 1420.91481) Full Text: DOI arXiv
Patel, Kuldip Singh; Mehra, Mani High-order compact finite difference scheme for pricing Asian option with moving boundary condition. (English) Zbl 1416.65279 Differ. Equ. Dyn. Syst. 27, No. 1-3, 39-56 (2019). MSC: 65M06 65M12 91G60 91G20 35Q91 PDF BibTeX XML Cite \textit{K. S. Patel} and \textit{M. Mehra}, Differ. Equ. Dyn. Syst. 27, No. 1--3, 39--56 (2019; Zbl 1416.65279) Full Text: DOI
Jafari, Hossein; Rahimi, Ghazaleh Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. (English) Zbl 1411.91563 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1950005, 19 p. (2019). MSC: 91G20 60G51 60H07 60J75 PDF BibTeX XML Cite \textit{H. Jafari} and \textit{G. Rahimi}, Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1950005, 19 p. (2019; Zbl 1411.91563) Full Text: DOI
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; Marino, Zelda A general framework for pricing Asian options under stochastic volatility on parallel architectures. (English) Zbl 1403.91333 Eur. J. Oper. Res. 272, No. 3, 1082-1095 (2019). MSC: 91G20 91G60 65Y05 PDF BibTeX XML Cite \textit{S. Corsaro} et al., Eur. J. Oper. Res. 272, No. 3, 1082--1095 (2019; Zbl 1403.91333) Full Text: DOI Link
Shishkova, A. A. The hedging strategy for Asian option. (English) Zbl 1506.91167 Vestn. Tomsk. Gos. Univ., Mat. Mekh. 2018, No. 56, 29-41 (2018). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{A. A. Shishkova}, Vestn. Tomsk. Gos. Univ., Mat. Mekh. 2018, No. 56, 29--41 (2018; Zbl 1506.91167) Full Text: DOI MNR
Li, Zhe; Zhang, Wei-Guo; Liu, Yong-Jun Analytical valuation for geometric Asian options in illiquid markets. (English) Zbl 1494.91159 Physica A 507, 175-191 (2018). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{Z. Li} et al., Physica A 507, 175--191 (2018; Zbl 1494.91159) Full Text: DOI
Wang, Lu; Zhang, Rong; Yang, Lin; Su, Yang; Ma, Feng Pricing geometric Asian rainbow options under fractional Brownian motion. (English) Zbl 1493.91129 Physica A 494, 8-16 (2018). MSC: 91G20 60G22 35Q91 PDF BibTeX XML Cite \textit{L. Wang} et al., Physica A 494, 8--16 (2018; Zbl 1493.91129) Full Text: DOI
Zhang, Wei-Guo; Li, Zhe; Liu, Yong-Jun Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion. (English) Zbl 1493.91130 Physica A 490, 402-418 (2018). MSC: 91G20 60G22 35Q91 PDF BibTeX XML Cite \textit{W.-G. Zhang} et al., Physica A 490, 402--418 (2018; Zbl 1493.91130) Full Text: DOI
Jedidi, Wissem; Vakeroudis, Stavros Windings of planar processes, exponential functionals and Asian options. (English) Zbl 1444.60038 Adv. Appl. Probab. 50, No. 3, 726-742 (2018). MSC: 60G51 60E07 60J65 60F05 60G40 91G80 PDF BibTeX XML Cite \textit{W. Jedidi} and \textit{S. Vakeroudis}, Adv. Appl. Probab. 50, No. 3, 726--742 (2018; Zbl 1444.60038) Full Text: DOI arXiv
Yao, Yi; Li, Shuaifang; Xu, Wei Efficient willow tree method for Asian option pricing under Merton jump-diffusion model. (Chinese. English summary) Zbl 1463.91177 J. Tongji Univ., Nat. Sci. 46, No. 12, 1761-1769 (2018). MSC: 91G20 60J74 91G60 PDF BibTeX XML Cite \textit{Y. Yao} et al., J. Tongji Univ., Nat. Sci. 46, No. 12, 1761--1769 (2018; Zbl 1463.91177) Full Text: DOI
Aimi, Alessandra; Diazzi, Lorenzo; Guardasoni, Chiara Numerical pricing of geometric Asian options with barriers. (English) Zbl 1419.91643 Math. Methods Appl. Sci. 41, No. 17, 7510-7529 (2018). MSC: 91G60 91G20 65M06 PDF BibTeX XML Cite \textit{A. Aimi} et al., Math. Methods Appl. Sci. 41, No. 17, 7510--7529 (2018; Zbl 1419.91643) Full Text: DOI
Sun, Yiyao; Yao, Kai; Dong, Jichang Asian option pricing problems of uncertain mean-reverting stock model. (English) Zbl 1398.91617 Soft Comput. 22, No. 17, 5583-5592 (2018). MSC: 91G20 34A07 PDF BibTeX XML Cite \textit{Y. Sun} et al., Soft Comput. 22, No. 17, 5583--5592 (2018; Zbl 1398.91617) Full Text: DOI
Chan, Raymond H.; Kan, Kelvin K.; Ma, Alfred K. An integer programming based strategy for Asian-style futures arbitrage over the settlement period. (English) Zbl 1419.91607 Algorithm. Finance 7, No. 1-2, 31-42 (2018). MSC: 91G20 90C10 PDF BibTeX XML Cite \textit{R. H. Chan} et al., Algorithm. Finance 7, No. 1--2, 31--42 (2018; Zbl 1419.91607) Full Text: DOI
Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho Most-likely-path in Asian option pricing under local volatility models. (English) Zbl 1396.91714 Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850029, 32 p. (2018). MSC: 91G20 60F10 91G60 PDF BibTeX XML Cite \textit{L.-P. Arguin} et al., Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850029, 32 p. (2018; Zbl 1396.91714) Full Text: DOI arXiv
Aimi, A.; Guardasoni, Chiara Collocation boundary element method for the pricing of geometric Asian options. (English) Zbl 1403.91370 Eng. Anal. Bound. Elem. 92, 90-100 (2018). MSC: 91G60 65M38 91G20 PDF BibTeX XML Cite \textit{A. Aimi} and \textit{C. Guardasoni}, Eng. Anal. Bound. Elem. 92, 90--100 (2018; Zbl 1403.91370) Full Text: DOI
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy A general valuation framework for SABR and stochastic local volatility models. (English) Zbl 1410.91441 SIAM J. Financ. Math. 9, No. 2, 520-563 (2018). MSC: 91G20 91G60 60G40 PDF BibTeX XML Cite \textit{Z. Cui} et al., SIAM J. Financ. Math. 9, No. 2, 520--563 (2018; Zbl 1410.91441) Full Text: DOI
Shokrollahi, Foad The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion. (English) Zbl 1395.91467 J. Comput. Appl. Math. 344, 716-724 (2018). MSC: 91G20 91G80 60G22 PDF BibTeX XML Cite \textit{F. Shokrollahi}, J. Comput. Appl. Math. 344, 716--724 (2018; Zbl 1395.91467) Full Text: DOI arXiv
Patel, Kuldip Singh; Mehra, Mani A numerical study of Asian option with high-order compact finite difference scheme. (English) Zbl 1403.91375 J. Appl. Math. Comput. 57, No. 1-2, 467-491 (2018). MSC: 91G60 65M06 91G20 PDF BibTeX XML Cite \textit{K. S. Patel} and \textit{M. Mehra}, J. Appl. Math. Comput. 57, No. 1--2, 467--491 (2018; Zbl 1403.91375) Full Text: DOI
Ocejo, Adriana Asian option as a fixed-point. (English) Zbl 1403.91349 J. Fixed Point Theory Appl. 20, No. 2, Paper No. 93, 15 p. (2018). MSC: 91G20 47H10 60J20 60J70 PDF BibTeX XML Cite \textit{A. Ocejo}, J. Fixed Point Theory Appl. 20, No. 2, Paper No. 93, 15 p. (2018; Zbl 1403.91349) Full Text: DOI arXiv
Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. (English) Zbl 1403.91336 Eur. J. Oper. Res. 266, No. 3, 1134-1139 (2018). MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{Z. Cui} et al., Eur. J. Oper. Res. 266, No. 3, 1134--1139 (2018; Zbl 1403.91336) Full Text: DOI
Ewald, Christian-Oliver; Yor, Marc On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. (English) Zbl 1390.91299 Math. Finance 28, No. 2, 536-549 (2018). MSC: 91G20 60G44 60G48 60H30 PDF BibTeX XML Cite \textit{C.-O. Ewald} and \textit{M. Yor}, Math. Finance 28, No. 2, 536--549 (2018; Zbl 1390.91299) Full Text: DOI Link
Wang, Jian; Ban, Jungyup; Lee, Seongjin; Yoo, Changwoo Comparative study of numerical algorithms for the arithmetic Asian option. (English) Zbl 1391.93043 J. Korean Soc. Ind. Appl. Math. 22, No. 1, 75-89 (2018). MSC: 93B05 PDF BibTeX XML Cite \textit{J. Wang} et al., J. Korean Soc. Ind. Appl. Math. 22, No. 1, 75--89 (2018; Zbl 1391.93043)
Levendorskiĭ, Sergei Pricing arithmetic Asian options under Lévy models by backward induction in the dual space. (English) Zbl 1408.91219 SIAM J. Financ. Math. 9, No. 1, 1-27 (2018). MSC: 91G20 30E20 42A38 42B10 91G60 65R10 65T50 60G51 PDF BibTeX XML Cite \textit{S. Levendorskiĭ}, SIAM J. Financ. Math. 9, No. 1, 1--27 (2018; Zbl 1408.91219) Full Text: DOI
Pirjol, Dan; Zhu, Lingjiong Sensitivities of Asian options in the Black-Scholes model. (English) Zbl 1395.91463 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850008, 25 p. (2018). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{D. Pirjol} and \textit{L. Zhu}, Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850008, 25 p. (2018; Zbl 1395.91463) Full Text: DOI
Pirjol, Dan; Zhu, Lingjiong Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options. (English) Zbl 1429.91327 Adv. Appl. Probab. 49, No. 2, 446-480 (2017). MSC: 91G20 91G80 60J70 60F05 60F10 PDF BibTeX XML Cite \textit{D. Pirjol} and \textit{L. Zhu}, Adv. Appl. Probab. 49, No. 2, 446--480 (2017; Zbl 1429.91327) Full Text: DOI arXiv
Prayoga, Adrian; Privault, Nicolas Pricing CIR yield options by conditional moment matching. (English) Zbl 1418.91534 Asia-Pac. Financ. Mark. 24, No. 1, 19-38 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{A. Prayoga} and \textit{N. Privault}, Asia-Pac. Financ. Mark. 24, No. 1, 19--38 (2017; Zbl 1418.91534) Full Text: DOI
Funahashi, Hideharu; Kijima, Masaaki A unified approach for the pricing of options relating to averages. (English) Zbl 1418.91512 Rev. Deriv. Res. 20, No. 3, 203-229 (2017). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{H. Funahashi} and \textit{M. Kijima}, Rev. Deriv. Res. 20, No. 3, 203--229 (2017; Zbl 1418.91512) Full Text: DOI
Hubalek, Friedrich; Keller-Ressel, Martin; Sgarra, Carlo Geometric Asian option pricing in general affine stochastic volatility models with jumps. (English) Zbl 1402.91791 Quant. Finance 17, No. 6, 873-888 (2017). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{F. Hubalek} et al., Quant. Finance 17, No. 6, 873--888 (2017; Zbl 1402.91791) Full Text: DOI arXiv
Xue, Guangming; Deng, Guohe Pricing forward-starting power Asian options with floating strike price. (English) Zbl 1399.91143 Math. Appl. 30, No. 4, 916-926 (2017). MSC: 91G60 91G20 65C05 PDF BibTeX XML Cite \textit{G. Xue} and \textit{G. Deng}, Math. Appl. 30, No. 4, 916--926 (2017; Zbl 1399.91143)
Geng, Yanjing; Zhou, Shengwu Pricing Asian option under mixed jump-fraction process. (Chinese. English summary) Zbl 1399.91111 J. East China Norm. Univ., Nat. Sci. Ed. 2017, No. 3, 29-38 (2017). MSC: 91G20 91G80 60G22 60J75 35Q91 PDF BibTeX XML Cite \textit{Y. Geng} and \textit{S. Zhou}, J. East China Norm. Univ., Nat. Sci. Ed. 2017, No. 3, 29--38 (2017; Zbl 1399.91111) Full Text: DOI
Hozman, Jiří; Tichý, Tomáš DG method for the numerical pricing of two-asset European-style Asian options with fixed strike. (English) Zbl 1458.91226 Appl. Math., Praha 62, No. 6, 607-632 (2017). MSC: 91G60 91G20 65M60 35Q91 PDF BibTeX XML Cite \textit{J. Hozman} and \textit{T. Tichý}, Appl. Math., Praha 62, No. 6, 607--632 (2017; Zbl 1458.91226) Full Text: DOI
Shinozaki, Yuji Construction of a third-order K-scheme and its application to financial models. (English) Zbl 1407.91274 SIAM J. Financ. Math. 8, 901-932 (2017). MSC: 91G60 60H35 65C20 65C30 65C05 62P05 60H07 PDF BibTeX XML Cite \textit{Y. Shinozaki}, SIAM J. Financ. Math. 8, 901--932 (2017; Zbl 1407.91274) Full Text: DOI
Alaei, Mohammad Ebrahim Black-Scholes formula for Asian option with several futures. (English) Zbl 1386.91132 Armen. J. Math. 9, No. 2, 84-92 (2017). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{M. E. Alaei}, Armen. J. Math. 9, No. 2, 84--92 (2017; Zbl 1386.91132) Full Text: Link
Cui, Zhenyu; Nguyen, Duy First hitting time of integral diffusions and applications. (English) Zbl 1380.60073 Stoch. Models 33, No. 3, 376-391 (2017). MSC: 60J60 60G44 44A10 91G20 PDF BibTeX XML Cite \textit{Z. Cui} and \textit{D. Nguyen}, Stoch. Models 33, No. 3, 376--391 (2017; Zbl 1380.60073) Full Text: DOI
Guiwen, Lv; Lixia, Liu; Wenhan, Li Option pricing formulas in a new uncertain stock model with floating interest rate. (English) Zbl 1377.91158 J. Intell. Fuzzy Syst. 33, No. 4, 2485-2496 (2017). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{L. Guiwen} et al., J. Intell. Fuzzy Syst. 33, No. 4, 2485--2496 (2017; Zbl 1377.91158) Full Text: DOI
Giles, Michael B.; Xia, Yuan Multilevel Monte Carlo for exponential Lévy models. (English) Zbl 1403.91371 Finance Stoch. 21, No. 4, 995-1026 (2017). Reviewer: Christopher Policastro (Berkeley) MSC: 91G60 65C05 91G20 60G51 60G15 PDF BibTeX XML Cite \textit{M. B. Giles} and \textit{Y. Xia}, Finance Stoch. 21, No. 4, 995--1026 (2017; Zbl 1403.91371) Full Text: DOI arXiv
Cai, Ning; Song, Yingda; Chen, Nan Exact simulation of the SABR model. (English) Zbl 1405.91598 Oper. Res. 65, No. 4, 931-951 (2017). MSC: 91G20 44A10 62P05 62E10 PDF BibTeX XML Cite \textit{N. Cai} et al., Oper. Res. 65, No. 4, 931--951 (2017; Zbl 1405.91598) Full Text: DOI Link
Dewynne, J. N.; El-Hassan, N. The valuation of self-funding instalment warrants. (English) Zbl 1396.91725 Int. J. Theor. Appl. Finance 20, No. 4, Article ID 1750025, 48 p. (2017). MSC: 91G20 65M06 65C05 91G60 PDF BibTeX XML Cite \textit{J. N. Dewynne} and \textit{N. El-Hassan}, Int. J. Theor. Appl. Finance 20, No. 4, Article ID 1750025, 48 p. (2017; Zbl 1396.91725) Full Text: DOI
Pagliarani, S.; Pascucci, A.; Pignotti, M. Intrinsic expansions for averaged diffusion processes. (English) Zbl 1373.60137 Stochastic Processes Appl. 127, No. 8, 2560-2585 (2017). MSC: 60J60 91G80 91G20 PDF BibTeX XML Cite \textit{S. Pagliarani} et al., Stochastic Processes Appl. 127, No. 8, 2560--2585 (2017; Zbl 1373.60137) Full Text: DOI arXiv
Mehrdoust, F.; Babaei, S.; Fallah, S. Efficient Monte Carlo option pricing under CEV model. (English) Zbl 1369.35097 Commun. Stat., Simulation Comput. 46, No. 3, 2254-2266 (2017). MSC: 35Q91 35C05 65C05 60J65 91G20 PDF BibTeX XML Cite \textit{F. Mehrdoust} et al., Commun. Stat., Simulation Comput. 46, No. 3, 2254--2266 (2017; Zbl 1369.35097) Full Text: DOI
Novikov, A.; Alexander, S.; Kordzakhia, N.; Ling, T. Pricing of Asian-type and basket options via bounds. (English. Russian original) Zbl 1358.91100 Theory Probab. Appl. 61, No. 1, 94-106 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 53-68 (2016). MSC: 91G20 60G51 91G60 PDF BibTeX XML Cite \textit{A. Novikov} et al., Theory Probab. Appl. 61, No. 1, 94--106 (2017; Zbl 1358.91100); translation from Teor. Veroyatn. Primen. 61, No. 1, 53--68 (2016) Full Text: DOI arXiv
Huang, Chun-Sung; O’Hara, John G.; Mataramvura, Sure Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. (English) Zbl 1354.91164 J. Comput. Appl. Math. 311, 230-238 (2017). MSC: 91G60 65T50 91G20 PDF BibTeX XML Cite \textit{C.-S. Huang} et al., J. Comput. Appl. Math. 311, 230--238 (2017; Zbl 1354.91164) Full Text: DOI