Add to ORKGThis paper presents an algorithm for pricing Asian options using Monte Carlo method. The method is based on a using the mean value property of the Kolmogorov equation.Numerical examples for Geometric average floating and fixed strike call options are provided to illustrate the method
This thesis would not exist without the support from my supervisor prof. Bernard Lapeyre; the head o...
ABSTRACT. Background material on measure-theoretic probability theory and stochas-tic calculus is pr...
We present a new model named callable Asian options. Such options allow their underwriters to call ...
This paper presents an algorithm for pricing Asian options using Monte Carlo method. The method is ...
International audienceWe explain how a carefully chosen scheme can lead to competitive Monte Carlo a...
In this paper, we present selected methods to price average price options (also known as Asian optio...
We explain how a carefully chosen scheme can lead to competitive Monte Carlo algorithms for the comp...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform in...
Asian options are an important family of derivative contracts with a wide variety of applications in...
Option valuation is one of the more applied areas of mathematics. Options are financial derivatives ...
In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is pres...
Background material on measure-theoretic probability theory and stochastic calculus is provided in o...
An option is a contract between a holder and a writer in which the writer grants the rights (not obl...
This thesis would not exist without the support from my supervisor prof. Bernard Lapeyre; the head o...
ABSTRACT. Background material on measure-theoretic probability theory and stochas-tic calculus is pr...
We present a new model named callable Asian options. Such options allow their underwriters to call ...
This paper presents an algorithm for pricing Asian options using Monte Carlo method. The method is ...
International audienceWe explain how a carefully chosen scheme can lead to competitive Monte Carlo a...
In this paper, we present selected methods to price average price options (also known as Asian optio...
We explain how a carefully chosen scheme can lead to competitive Monte Carlo algorithms for the comp...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform in...
Asian options are an important family of derivative contracts with a wide variety of applications in...
Option valuation is one of the more applied areas of mathematics. Options are financial derivatives ...
In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is pres...
Background material on measure-theoretic probability theory and stochastic calculus is provided in o...
An option is a contract between a holder and a writer in which the writer grants the rights (not obl...
This thesis would not exist without the support from my supervisor prof. Bernard Lapeyre; the head o...
ABSTRACT. Background material on measure-theoretic probability theory and stochas-tic calculus is pr...
We present a new model named callable Asian options. Such options allow their underwriters to call ...