REFERENCES
- [1] Black, F. and Scholes, M., “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, pp. 637654 (1973). doi: 10.1086/260062
- [2] Merton, R. C., “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, Vol. 4, pp. 141183 (1973). doi: 10.2307/3003143
- [3] Merton, R. C., “Option Pricing When Underlying Stock Return are Discontinuous,” Journal of Financial Economics, Vol. 3, pp. 125144 (1976). doi: 10.1016/ 0304-405X(76)90022-2
- [4] Cont, R. and Tankov, P., Financial Modelling with Jump Processes, Chapman and Hall/CRC, Boca Raton (2004).
- [5] Geman, H. and Yor, M., “Bessel Processes, Asian Options, and Perpetuities,” Mathematical Finance, Vol. 3, No. 4, pp. 349375 (1993). doi: 10.1111/j.1467- 9965.1993.tb00092.x
- [6] Vcr, J., “Unified Asian Pricing,” Risk, Vol. 15, No. 6, pp. 113116 (2002).
- [7] Vcr, J. and Xu, M., “Pricing Asian Options in a Semimartingale Model,” Quantitative Finance, Vol. 4, pp. 170175 (2004). doi: 10.1080/14697680400000 021
- [8] Carr, P., Geman, H., Madan, D. and Yor, M., “The Fine Structure of Asset Returns: An Empirical Investigation,” Journal of Business, Vol. 75, pp. 305332 (2002). doi: 10.1086/338705
- [9] Eberlein, E. and Prause, K., The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures, in: Geman, H., Madan, D., Pliska, S. and Vorst, T. (Ed.), In Mathematical Finance - Bachelier Congress 2000, Springer-Verlag, pp. 245267 (2000).
- [10] Andreasen, J., “The Pricing of Discretely Sampled Asian and Lookback Options: A Change of Numeraire Approach,” Journal of Computational Finance, Vol. 2, pp. 530 (1998).
- [11] Lipton, A., “Similarities via Self-Similarities,” Risk, Vol. 12, No. 9, pp. 101105 (1999).
- [12] Rogers, L. C. G. and Shi, Z., “The Value of an Asian Option,” Journal of Applied Probability, Vol. 32, pp. 10771088 (1995). doi: 10.2307/3215221
- [13] Föllmer, H. and Schweizer, M., Hedging of Contingent Claims under Incomplete Information, in: Davis, M. H. A. and Elliott, R. J. (Ed.), Applied Stochastic Analysis, Gordon and Breach, New York, pp. 389414 (1991).
- [14] Musiela, M. and Rutkowski, M., Martingale Methods in Financial Modeling, Springer-Verlag, Berlin (2005).
- [15] Lin, H. J., “Pricing Asian Options on Asset Driven by a Combined Geometric Brownian Motion and a Geometric Compound Poisson Process,” International Journal of Information and Management Sciences, Vol. 21, No. 2, pp. 113123 (2010).
- [16] Shreve, S. E., Stochastic Calculus for Finance II, Springer-Verlag, New York (2004).
- [17] Achdou, Y. and Pironneau, O., Computational Methods for Option Pricing, Frontiers Appl. Math. 30, SIAM, Philadelphia, PA (2005).
- [18] Tavella, D. and Randall, C., Pricing Financial Instruments: The Finite Difference Method, John Wiley & Sons, Chichester, UK (2000).
- [19] Cont, R. and Tankov, P., Financial Modelling with Jump Processes, Chapman and Hall/CRC, Boca Raton, FL (2004).
- [20] Duffy, D. J., Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach, John Wiley & Sons, Chichester, UK (2006).
- [21] Kemna, A. G. Z. and Vorst, A. C. F., “A Pricing Method Based on Average Asset Values,” Journal of Banking and Finance, Vol. 14, pp. 113129 (1990). doi: 10.1016/0378-4266(90)90039-5
- [22] Bénédicte Alziary, Jean-Paul Décamps, and PierreFrançois Koehl, “A P. D. E. Approach to Asia Options: Analytical and Numerical Evidence,” Journal of Banking and Finance, Vol. 21, No. 5, pp. 613640 (1997). doi: 10.1016/S0378-4266(96)00057-X