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A study of the Hartman-Watson distribution motivated by numerical problems related to the pricing of Asian optionsBARRIEU, P; ROUAULT, A; YOR, M et al.Journal of applied probability. 2004, Vol 41, Num 4, pp 1049-1058, issn 0021-9002, 10 p.Article

THE HARTMAN―WATSON DISTRIBUTION REVISITED: ASYMPTOTICS FOR PRICING ASIAN OPTIONSGERHOLD, Stefan.Journal of applied probability. 2011, Vol 48, Num 3, pp 892-899, issn 0021-9002, 8 p.Article

Equivalence of floating and fixed strike Asian and lookback optionsEBERLEIN, Ernst; PAPAPANTOLEON, Antonis.Stochastic processes and their applications. 2005, Vol 115, Num 1, pp 31-40, issn 0304-4149, 10 p.Article

Options valuation by using radial basis function approximationGOTO, Yumi; ZHAI FEI; SHEN KAN et al.Engineering analysis with boundary elements. 2007, Vol 31, Num 10, pp 836-843, issn 0955-7997, 8 p.Article

A semi-lagrangian approach for american asian options under jump diffusionD'HALLUIN, Y; FORSYTH, P. A; LABAHN, G et al.SIAM journal on scientific computing (Print). 2005, Vol 27, Num 1, pp 315-345, issn 1064-8275, 31 p.Article

Asian options with jumpsCHOU, Ching-Sung; LIN, Hsien-Jen.Statistics & probability letters. 2006, Vol 76, Num 18, pp 1983-1993, issn 0167-7152, 11 p.Article

Asymmetric skew Bessel processes and their applications to financeDECAMPS, Marc; GOOVAERTS, Marc; SCHOUTENS, Wim et al.Journal of computational and applied mathematics. 2005, Vol 186, Num 1, pp 130-147, issn 0377-0427, 18 p.Article

Comparison of radial basis functions in evaluating the Asian optionZHAI, F; SHEN, K; KITA, E et al.WIT transactions on modelling and simulation. 2007, pp 133-140, isbn 978-1-8456-4076-7, 1Vol, 8 p.Conference Paper

On Asian option pricing for NIG Lévy processesALBRECHER, Hansjörg; PREDOTA, Martin.Journal of computational and applied mathematics. 2004, Vol 172, Num 1, pp 153-168, issn 0377-0427, 16 p.Article

Approximate option pricingCHALASANI, P; JHA, S; SAIAS, I et al.Algorithmica. 1999, Vol 25, Num 1, pp 2-21, issn 0178-4617Article

An extension of seshadri's identities for Brownian motionGHOMRASNI, Raouf; GRAVERSEN, Svend Erik.Statistics & probability letters. 2002, Vol 59, Num 4, pp 379-384, issn 0167-7152, 6 p.Article

On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumpsHUBALEK, Friedrich; SGARRA, Carlo.Journal of computational and applied mathematics. 2011, Vol 235, Num 11, pp 3355-3365, issn 0377-0427, 11 p.Article

Bounds for the price of discrete arithmetic Asian optionsVANMAELE, M; DEELSTRA, G; LIINEV, J et al.Journal of computational and applied mathematics. 2006, Vol 185, Num 1, pp 51-90, issn 0377-0427, 40 p.Article

Convergence of the binomial tree method for asian options in jump-diffusion modelsKWANG IK KIM; QIAN, Xiao-Song.Journal of mathematical analysis and applications. 2007, Vol 330, Num 1, pp 10-23, issn 0022-247X, 14 p.Article

ON CONSTRUCTIVE COMPLEX ANALYSIS IN FINANCE : EXPLICIT FORMULAS FOR ASIAN OPTIONSSCHRÖDER, Michael.Quarterly of applied mathematics. 2008, Vol 66, Num 4, pp 633-658, issn 0033-569X, 26 p.Article

Wellposedness of the boundary value formulation of a fixed strike Asian optionHUGGER, Jens.Journal of computational and applied mathematics. 2006, Vol 185, Num 2, pp 460-481, issn 0377-0427, 22 p.Conference Paper

An efficient convergent lattice algorithm for European Asian optionsDAI, Tian-Shyr; HUANG, Guan-Shieng; LYUU, Yuh-Dauh et al.Applied mathematics and computation. 2005, Vol 169, Num 2, pp 1458-1471, issn 0096-3003, 14 p.Article

Pricing Asian Options on Assets Driven by a Combined Geometric Brownian Motion and a Geometric Compound Poisson ProcessLIN, Hsien-Jen.International journal of information and management sciences. 2010, Vol 21, Num 2, pp 113-123, issn 1017-1819, 11 p.Article

Law of the exponential functional of one-sided Levy processes and Asian optionsPATIE, Pierre.Comptes rendus. Mathématique. 2009, Vol 347, Num 7-8, pp 407-411, issn 1631-073X, 5 p.Article

Numerical computation of an integral representation for arithmetic-average Asian optionsPETRAS, K.Computing (Wien. Print). 2004, Vol 73, Num 1, pp 25-39, issn 0010-485X, 15 p.Article

Obstacle problem for Arithmetic Asian optionsMONTI, Laura; PASCUCCI, Andrea.Comptes rendus. Mathématique. 2009, Vol 347, Num 23-24, pp 1443-1446, issn 1631-073X, 4 p.Article

Accurate pricing formulas for Asian optionsCHEN, Kuan-Wen; LYUU, Yuh-Dauh.Applied mathematics and computation. 2007, Vol 188, Num 2, pp 1711-1724, issn 0096-3003, 14 p.Article

Pricing Asian-Style Interest Rate Swaps within a Multi-factor Gaussian HJM FrameworkHSU, Chih-Chen; WU, Ting-Pin.International journal of information and management sciences. 2011, Vol 22, Num 4, pp 357-375, issn 1017-1819, 19 p.Article

An exact subexponential-time lattice algorithm for Asian optionsDAI, Tian-Shyr; LYUU, Yuh-Dauh.Acta informatica. 2007, Vol 44, Num 1, pp 23-39, issn 0001-5903, 17 p.Article