Related papers: Pricing Asian Options with Correlators
Asian option, as one of the path-dependent exotic options, is widely traded in the energy market, either for speculation or hedging. However, it is hard to price, especially the one with the arithmetic average price. The traditional trading…
Completeness of the eigenfunctions of a quantum mechanical system is crucial for its probability interpretation. By using the method of contour integral we give properly normalized eigenfunctions for both discrete and continuum spectrum of…
One method to compute the price of an arithmetic Asian option in a Levy driven model is based on the exponential functional of the underlying Levy process: If we know the distribution of the exponential functional, we can calculate the…
In this article we describe a new Hermite series based sequential estimator for the Spearman rank correlation coefficient and provide algorithms applicable in both the stationary and non-stationary settings. To treat the non-stationary…
The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the underlying stock follows a time changed mixed fractional…
The Fourier-cosine expansion (COS) method is used to price European options numerically in a very efficient way. To apply the COS method, one has to specify two parameters: a truncation range for the density of the log-returns and a number…
This paper will demonstrate some new techniques for developing the theory of Asian (arithmetic average) options pricing. We discuss the basic derivation of the diffusion equations, and how various techniques from potential theory can be…
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our…
This paper presents a novel method for polynomial approximation (Hermite approximation) using the fusion of value and derivative information. Therefore, the least-squares error in both domains is simultaneously minimized. A covariance…
We give equivalent forms of the Askey-Wilson polynomials expressing them with the help of the Al-Salam-Chihara polynomials. After restricting parameters of the Askey-Wilson polynomials to complex conjugate pairs we expand the Askey-Wilson…
We price American options using kernel-based approximations of the Volterra Heston model. We choose these approximations because they allow simulation-based techniques for pricing. We prove the convergence of American option prices in the…
This paper discusses the short-maturity behavior of Asian option prices and hedging portfolios. We consider the risk-neutral valuation and the delta value of the Asian option having a H\"older continuous payoff function in a local…
Orthogonal polynomials are of fundamental importance in many fields of mathematics and science, therefore the study of a particular family is always relevant. In this manuscript, we present a survey of some general results of the Hermite…
We obtain a series transformation formula involving the classical Hermite polynomials. We then provide a number of applications using appropriate binomial transformations. Several of the new series involve Hermite polynomials and harmonic…
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we…
The method of constructing Hermite trigonometric polynomials, which interpolate the values of a certain periodic function and its derivatives up to (including ) the -th ( ) order in nodes of a uniform grid, is considered. The proposed…
This article introduces the R package hermiter which facilitates estimation of univariate and bivariate probability density functions and cumulative distribution functions along with full quantile functions (univariate) and nonparametric…
In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the price of a univariate related contract after conditioning…
The COS method proposed in Fang and Oosterlee (2008), although highly efficient, may lack robustness for a number of cases. In this paper, we present a Stable pricing of call options based on Fourier cosine series expansion. The Stability…
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process…