Article citationsMore>>

Li, W.P. and Chen, S. (2016) Pricing and Hedging of Arithmetic Asian Options via the Edgeworth Series Expansion Approach. The Journal of Finance and Data Science, 2, 1-25.
https://doi.org/10.1016/j.jfds.2016.01.001

has been cited by the following article:

• TITLE: The Lognormal Characteristic Function in Several Dimensions, with Application to Asian Options

  AUTHORS: Andrew P. Leung

  KEYWORDS: Lognormal, Characteristic Function, Multidimensional, Complex Functions, Asian Options

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.3, August 14, 2020

  ABSTRACT: Many attempts have been made to derive a simple expression for the characteristic function of the lognormal distribution. This would be useful for computing the sum of lognormal variables, either with each other, or with other statistical variables. In this paper, we provide a simple formula for the characteristic function, which is exact, closed and computable. An extension to the sum of correlated lognormals, used in the pricing of Asian options, is a consequence of this approach.