Moment-matching approximations for Asian options
This study provides a generalized framework under which all types of Asian options can be
priced, fixed and floating strike, forward-starting and in-progress. We not only extend the …
priced, fixed and floating strike, forward-starting and in-progress. We not only extend the …
Asian options with credit risks: Pricing and sensitivity analysis
CY Tsao, CC Liu - Emerging Markets Finance and Trade, 2012 - Taylor & Francis
The 2008 financial crisis forced investors to be more concerned with the risk management of
financial instruments, especially derivatives. The main objective of this paper is to study the …
financial instruments, especially derivatives. The main objective of this paper is to study the …
Short maturity forward start Asian options in local volatility models
We study the short maturity asymptotics for prices of forward start Asian options under the
assumption that the underlying asset follows a local volatility model. We obtain asymptotics …
assumption that the underlying asset follows a local volatility model. We obtain asymptotics …
[PDF][PDF] Analytic Approximations for Generalized Asian Options
CL Lo, KJ Palmer, MT Yu - 2011 - academia.edu
This study provides a generalized framework under which all types of Asian options can be
priced. We not only extend the previous studies to our framework, but propose a new and …
priced. We not only extend the previous studies to our framework, but propose a new and …
[CITATION][C] The Algorithms Identified in Option Portfolio Hedging
P Záškodný, I Havlíček