Pricing continuously sampled Asian options with perturbation method

By Jin E. Zhang. 2003

64 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8c28cc1205090c865cea1cecd54261ad63a1d58e

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In Finance

1. Erhan Bayraktar
2. Hao Xing

Citations in the corpus

• PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (2011, methodology): “Veyceyr (2001), Rogers and Shi (1995), Zhang (2003) developed PDE methods, Geman and Yor (1993) developed a single Laplace inversion method, Linetsky (2004) developed a spectral expansion approach, Cai and Kou (2007) developed a double Laplace inversion method.”