Pricing Asian options in a semimartingale model

By Jan Vecer, Mingxin Xu. 2004

103 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8973f4771d8a920f956a0b3998b98497e2e14997

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Citations in the corpus

Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models (2004, methodology): “Using Monte Carlo simulations to evaluate Asian option prices has been an important approach in parallel to PDE approaches [4, 5, 14].”
Equivalence of floating and fixed strike Asian and lookback options (2005, methodology): “In-progress Asian options can be re-written in terms of standard Asian options, see Večeř (2002), but floating strike options become a mixture of floating and fixed strike Asian options, because of the additional term that corresponds to the averaging up to time t.”
Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017, unknown): “The following theorem can be considered as a Večeřtype theorem (see Shreve 2004; Večeř 2002; Večeř and Xu 2004) for the variance swap.”
Pricing Asian options with stochastic volatility (2003, methodology): “Notice that our argument can be extended to the discretely sampled Asian options for cases considered in [20] and [21].”
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “Research in this area includes (d’Halluin et al. 2005), where a semi-Lagrangian method is proposed to solve the partial integro-differential equation (PIDE) directly, and Vecer and Xu (2004), where a representation for Asian options under semi-martingale models is developed via analysis of the PIDE.”