Laguerre Series for Asian and Other Options

By Daniel Dufresne. 2000

152 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/64030d612f02cd05566bfad59a57effe7a9d1f11

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

Citations in the corpus

Option Pricing: Valuation Models and Applications (2004, unknown): “An influential early paper is Engle (1982). Recent contributions include Bakshi et al.”
Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005, background): “Dufresne [22] has shown that the Stieltjes moment problem for the reciprocal (A (μ) t ) −1 is determinate.”
The integral of geometric Brownian motion (2001, background): “Other results in Dufresne (2000) are similarly exended.)”
Bessel processes, the integral of geometric Brownian motion, and Asian options (2003, background): “The pursuit of this objective has evolved over the last fifteen years as an interplay between theoretical and computational perspectives; see [20] or [9], for instance.”
On the equivalence of floating- and fixed-strike Asian options (2002, background): “The reader is referred to the recent papers [7] and [6] for an overview of the literature on pricing fixed-strike Asian options.”
Pricing Asian and basket options via Taylor expansion (2002, methodology): “basket options. Dufresne (2000) uses a Laguerre series to approximate Asian option prices,”
The integrated square-root process (2001, background): “Further work will consider expressing the density of Yt as an infinite Laguerre series, as was done for the density of the integral of geometric Brownian motion in Dufresne (2000).”
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (2004, background): “Among them are averages and exponential Brownian functionals (e.g., Dufresne 2000, 2001; Geman and Yor 1993; Linetsky 2001; Yor 2001) local times (e.g., Carr and Jarrow 1990), and occupation times (e.g., Chesney et al. 1997; Davydov and Linetsky 2002; Linetsky 1998, 1999).”
The log-normal approximation in financial and other computations (2004, methodology): “The Laguerre series obtained in Dufresne (2000) also suffer from the small-t problem, though the reason is apparently that the required moments of 1/A(µ)t get very large when t is small.”