Analytical Valuation of American-Style Asian Options

By Asbjørn T. Hansen, P. L. Jørgensen. 2000

98 citations recorded by the source corpus.

Subfields: Finance

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Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies (2000, background): “in (3) has a well-known solution given by $W $ N H ( 4 )”
The Valuation of American Barrier Options Using the Decomposition Technique (2000, unknown): “(4)See also Geske and Johnson (1984), Selby and Hodges (1987), and Schroder (1989).”
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities (2001, background): “. This must be true since the process ( 4 ) is the sole generator of uncertainty”
Fair valuation of participating policies with surrender options and regime switching (2005, unknown): “FollowingHansen and Jørgensen (2000) , we consider the dynamics of the values of the participating contract separately on the continuation region C and the stopping region S.”
Analytical and Numerical Methods for Pricing Financial Derivatives (2011, background): “Hansen and Jørgensen [59], Pascucci [91], Wu, Kwok and Yu [123], Wu and Fu [124] and others).”