RESEARCH PAPERS ON DERIVATIVES
of
Michael Schröder
ARITHMETIC-AVERAGE ASIAN
OPTIONS
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On the valuation of Asian Options:
integral representations, Oktober 1997, revised November 1999, 28pp.
(gzipped ps file 225KB), (X-server version math.CV/0003055)
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On the valuation of Asian options:
explicit formulas,
March 1999, revised March 2000,
approx. 70pp.
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The Laplace transform approach
to valuing exotic options: the case of the Asian option, October 2000,
13pp.
(gzipped
ps file, 96KB)
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On the valuation of Asian options:
Laguerre series and Theta integrals, December 2000, 19pp.
(gzipped ps file 140KB),
(X-server version math.CA/0012072)
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On the valuation of Asian options:
the Geman-Yor Laplace transform revisited, December 2000, 24pp.
(with Peter Carr)
(gzipped ps file 147KB),
(X-server version math.CA/0102080)
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Bessel processes, the integral of geometric Brownian motion,
and Asian options, April 2002, 29pp.
(with Peter Carr)
(gzipped ps file 227KB), , (X-server version math.PR/0311280)
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Analytical ramifications of
derivatives valuation: Asian options and special functions, January 2002,
23pp.
(gzipped ps file 233KB), (X-server version math.CA/0202298)
DOUBLE BARRIER OPTIONS
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On the valuation of double barrier
options, May 1998, 20pp.
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Fact and fantasy in recent applications
of transform methods to the valuation of exotic options, September 1999,
48pp.
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On the valuation of double barrier
options: computational aspects, Juni 1999, 28pp. (gzipped
ps file 240KB)
PARIS BARRIER OPTIONS
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Brownian excursions and Parisian
barrier options: a note, January 2002, 9pp.
(gzipped ps file 155KB), (X-server version math.PR/0202299)
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On the valuation of Paris Options:
foundational results, November 1999, 15pp.
(gzipped ps file 128KB),
(X-server version math.CA/0004016)
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On the valuation of Paris options:
the first standard case, November 1999, 23pp.
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On the valuation of Paris options:
the second standard case, May 2000, 67pp.
ODDS AND ENDS
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The characteristic functions approach
to valuing contingent claims, Juni 2000, 6pp. (gzipped
ps file 72KB)
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Marc Yor: Exponential functionals of
Brownian motion and related processes.
Review for the German Math Assocation's
DMV Bericht, February 2002,
4 pp. (in German).
(ps file 215KB)
Institut für Mathematik
Universität Mannheim
D-68131 Mannheim
Email: schr00der@math.uni-mannheim.de
(Here please replace `00' by `oe' to get
a valid address)