Weak approximation of averaged diffusion processes

[1]  Stochastic Expansion for the Pricing of Call Options with Discrete Dividends , 2012 .

[2]  Smart expansion and fast calibration for jump diffusions , 2007, Finance Stochastics.

[3]  Analytical Formulas for Local Volatility Model with Stochastic Rates , 2009 .

[4]  Andrea Pascucci,et al.  Approximations for Asian Options in Local Volatility Models , 2011, J. Comput. Appl. Math..

[5]  S. Turnbull,et al.  A Quick Algorithm for Pricing European Average Options , 1991, Journal of Financial and Quantitative Analysis.

[6]  M. Avellaneda,et al.  Reconstruction of Volatility: Pricing Index Options by the Steepest Descent Approximation , 2002 .

[7]  A. Kemna,et al.  A pricing method for options based on average asset values , 1990 .

[8]  Smart Expansion and Fast Calibration for Jump Diffusion , 2007 .

[9]  Eric Benhamou,et al.  Time Dependent Heston Model , 2009, SIAM J. Financial Math..

[10]  René Carmona,et al.  Generalizing the Black-Scholes Formula to Multivariate Contingent Claims , 2005 .

[11]  E. Gobet,et al.  Asymptotic and Non Asymptotic Approximations for Option Valuation , 2012 .

[12]  Rainer Avikainen On irregular functionals of SDEs and the Euler scheme , 2009, Finance Stochastics.

[13]  Shinzo Watanabe Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels , 1987 .

[14]  Jin E. Zhang A Semi-Analytical Method for Pricing and Hedging Continuously Sampled Arithmetic Average Rate Options , 2001 .

[15]  B Lapeyre,et al.  Competitive Monte Carlo methods for the pricing of Asian options , 1999 .

[16]  Min Qian,et al.  Stochastic flows of diffeomorphisms , 1995 .

[17]  N. Yoshida ASYMPTOTIC EXPANSION FOR STATISTICS RELATED TO SMALL DIFFUSIONS , 1992 .

[18]  Dawn Hunter Efficient pricing of Asian options by the PDE approach , 2005 .

[19]  Susanne Ditlevsen,et al.  The fast climate fluctuations during the stadial and interstadial climate states , 2002, Annals of Glaciology.

[20]  D. Nualart The Malliavin Calculus and Related Topics , 1995 .

[21]  Pricing barrier and average options in a stochastic volatility environment. , 2011 .

[22]  Akihiko Takahashi,et al.  The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims , 2001 .

[23]  Eric Benhamou,et al.  Expansion formulas for European options in a local volatility model , 2010 .

[24]  M. Yor,et al.  BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES , 1993 .

[25]  M. Freidlin,et al.  Random Perturbations of Dynamical Systems , 1984 .

[26]  L. Rogers,et al.  The value of an Asian option , 1995, Journal of Applied Probability.