A Semi-Analytical Method for Pricing and Hedging Continuously Sampled Arithmetic Average Rate Options

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Subfields: Finance

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Pricing continuously sampled Asian options with perturbation method (2003, methodology): “We demonstrate that the governing PDE TABLE III Absolute Error of Analytical Approximations as Compared with Zhang’s (2001) Exact Values for the Arithmetic Average Rate Call Options (S 100, t 0, r 0.”
Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (2008, unknown): “The asymptotic expansion we present here has, as its first term, the analytical contribution to the solution noted by Zhang in his original work, [26], in which the residual component of the price is computed by a finite-difference scheme.”
PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (2011, methodology): “Numerical methods for pricing Asian options for diffusion models were studied extensively in the literature: Večeř (2001), Rogers and Shi (1995), and Zhang (2001, 2003) proposed various PDE methods, Geman and Yor (1993) developed a single Laplace inversion method, Linetsky (2004) investigated a…”