Optimal hedging of asian options by He, Shu.

“…This project introduces an optimal hedging strategy for path-dependent Asian options, which takes into account the historical data. …”
Get full text

On the equivalence of floating- and fixed-strike Asian options by Henderson, V, Wojakowski, R

Asian option pricing under sub-fractional vasicek model by Lichao Tao, Yuefu Lai, Yanting Ji, Xiangxing Tao

Subjects: Get full text

A Quantum Algorithm for Pricing Asian Options on Valuation Trees by Mark-Oliver Wolf, Roman Horsky, Jonas Koppe

“…We develop a novel quantum algorithm for approximating the price of a discrete floating-strike Asian option based on an underlying valuation tree. The paths of the tree are encoded in bit-representation into a qubit register, where quantum state preparation is used to load the corresponding distribution onto the states. …”
Get full text

Asian Option Pricing Based on the Standardized Logarithm of Geometric Average by Abdolrahim Badamchizadeh, Narges Heydari

“…An Asian option (or average value option) is a special type of option contract‎. ‎…”
Get full text

Bounds for in-progress floating-strike Asian options using symmetry by Henderson, V, Hobson, D, Shaw, W, Wojakowski, R

Efficient pricings for binomial Asian option under fuzzy environment by Elahi, Younes, Abd. Aziz, Mohd. Ismail

“…Asian options are important path-dependent derivatives. …”

Diffusion processes for density of the integral of the quadratic brownian bridge and Asian options by Rohra Sonakshi Mahesh

“…The second objective is to compare pricing methods for Asian options. An introduction to option pricing and Asian options is provided, followed by two different approaches to price Asian options: the density approximations and partial differential equations. …”
Get full text

Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach by Weiping Li, Su Chen

Subjects: “…Arithmetic Asian option…”
Get full text

Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method by Lingling Xu, Hongjie Zhang, Fu Lee Wang

Subjects: “…Asian option pricing…”
Get full text

Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading by Chih-Chen Hsu, Chung-Gee Lin, Tsung-Jung Kuo

Subjects: “…Asian option…”
Get full text

Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls by Dewynne, J, Shaw, W

“… <p style="text-align:justify;"> In this article, we present a simplified means of pricing Asian options using partial differential equations (PDEs). …”

Differential equations and asymptotic solutions for arithmetic Asian options: 'Black-Scholes formulae' for Asian rate calls by Dewynne, J, Shaw, W

“…In this article, we present a simplified means of pricing Asian options using partial differential equations (PDEs). …”

Non-Gaussian Closed Form Solutions for Geometric Average Asian Options in the Framework of Non-Extensive Statistical Mechanics by Pan Zhao, Benda Zhou, Jixia Wang

Subjects: “…geometric average Asian option…”
Get full text

Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model by Jixia Wang, Yameng Zhang

Subjects: “…geometric average Asian option pricing…”
Get full text

Analytic approximations for European-style Asian spread options by Boling Chen, Guohe Deng

Subjects: Get full text

Multi-assets Asian rainbow options pricing with stochastic interest rates obeying the Vasicek model by Yao Fu, Sisi Zhou, Xin Li, Feng Rao

Subjects: Get full text

Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process by Laham, Mohamed Faris, Ibrahim, Siti Nur Iqmal, Kilicman, Adem

“…Arithmetic Asian options is a financial derivatives whose payoff depends on the average of underlying asset which can either be European-style or American-style. …”
Get full text

A model-free approach to continuous-time finance by Chiu, H, Cont, R

“…We show that the superhedging cost is characterized as the solution of a path-dependent equation. For the Asian option, we obtain an explicit solution.…”

History dependence in stock price evolution by Zuberi, RS

“…Also mentioned is an Asian option type payoff used by traders to trade the cross-overs of two different (time scale) moving averages.…”