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On the Valuation of Asian Options by Variational Methods
SIAM Journal on Scientific Computing, 2003The author considers the valuation of Asian options by variational methods. The value function satisfies an ultraparabolic variational inequality. An implicit finite element approximation is developed. For two specific examples numerical experiments are provided.
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BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
Mathematical Finance, 1993Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula for the Laplace transform of an Asian option which is “out of the money.”The second example concerns volatility misspecification in portfolio insurance ...
Geman, Hélyette, Yor, Marc
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Efficient Asian option pricing with CUDA
2015 International Conference on High Performance Computing & Simulation (HPCS), 2015In this paper the Monte Carlo methods of the Asian option pricing are considered. Among them are pricing method with path integral and partial differential equation. Simulation algorithms running on the CPU sequentially and algorithms running on the GPU in parallel using the CUDA technology were analyzed and compared.
Artur Yuzhanin +3 more
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Laguerre Series for Asian and Other Options
Mathematical Finance, 2000This paper has four goals: (a) relate ladder height distributions to option values; (b) show how Laguerre expansions may be used in the computation of densities, distribution functions, and option prices; (c) derive some new results on the integral of geometric Brownian motion over a finite interval; and (d) apply the preceding results to the ...
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BLACK–SCHOLES REPRESENTATION FOR ASIAN OPTIONS
Mathematical Finance, 2012Asian options are securities with a payoff that depends on the average of the underlying stock price over a certain time interval. We identify three natural assets that appear in pricing of the Asian options, namely a stock S, a zero coupon bond BT with maturity T, and an abstract asset A (an “average asset”) that pays off a weighted average of the ...
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Asian rainbow option pricing formulas of uncertain stock model
Soft Computing, 2021Jie Liu, Rong Gao
exaly