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Journal of Financial and Quantitative Analysis
Volumn 38, Issue 2, 2003, Pages 449-473
Pricing bounds on Asian options
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EID: 0038801737     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/4126759     Document Type: Review
Times cited : (63)
References (14)
  • 3
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    • Valuing Asian and portfolio options by conditioning on the geometric mean price
    • Curran, M. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price." Management Science, 40 (1994), 1705-1711.
    • (1994) Management Science , vol.40 , pp. 1705-1711
    • Curran, M.1
  • 4
    • 0000224349 scopus 로고
    • Bond and option evaluation in the Gaussian interest rate model
    • Jamshidian, F. "Bond and Option Evaluation in the Gaussian Interest Rate Model." Research in Finance, 9(1991), 131-170.
    • (1991) Research in Finance , vol.9 , pp. 131-170
    • Jamshidian, F.1
  • 5
    • 0001323268 scopus 로고
    • A pricing method for options based on average asset values
    • Kemna, A., and T. Vorst. "A Pricing Method for Options Based on Average Asset Values." Journal of Banking and Finance, 14 (1990), 113-129.
    • (1990) Journal of Banking and Finance , vol.14 , pp. 113-129
    • Kemna, A.1    Vorst, T.2
  • 6
    • 0000001137 scopus 로고
    • The valuation of average rate currency options
    • Levy, E. "The Valuation of Average Rate Currency Options." Journal of International Money and Finance, 11 (1992), 474-491.
    • (1992) Journal of International Money and Finance , vol.11 , pp. 474-491
    • Levy, E.1
  • 7
    • 0032392567 scopus 로고    scopus 로고
    • Asian options, the sum of lognormals and the reciprocal gamma distribution
    • Milevsky, M. A., and S. E. Posner. "Asian Options, the Sum of Lognormals and the Reciprocal Gamma Distribution." Journal of Financial and Quantitative Analysis, 33 (1998), 409-422.
    • (1998) Journal of Financial and Quantitative Analysis , vol.33 , pp. 409-422
    • Milevsky, M.A.1    Posner, S.E.2
  • 8
    • 0037563534 scopus 로고    scopus 로고
    • Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
    • Nielsen, J. A., and K. Sandmann. "Pricing of Asian Exchange Rate Options under Stochastic Interest Rates as a Sum of Options." Finance and Stochastics, 6 (2002), 355-370.
    • (2002) Finance and Stochastics , vol.6 , pp. 355-370
    • Nielsen, J.A.1    Sandmann, K.2
  • 12
    • 0013207931 scopus 로고    scopus 로고
    • Fast narrow bounds on the value of Asian options
    • Univ. of Cambridge
    • Thompson, G. "Fast Narrow Bounds on the Value of Asian Options." Technical Report, (2000), Univ. of Cambridge, http://www-cfr.jims.cam.ac.uk/archive/PAPERS/2002/asian.pdf.
    • (2000) Technical Report
    • Thompson, G.1
  • 14
    • 38249015902 scopus 로고
    • Prices and hedge ratios of average exchange rate options
    • Vorst, T. "Prices and Hedge Ratios of Average Exchange Rate Options." International Review of Financial Analysis, 1 (1992), 179-193.
    • (1992) International Review of Financial Analysis , vol.1 , pp. 179-193
    • Vorst, T.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.