{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T07:34:24Z","timestamp":1740123264710,"version":"3.37.3"},"reference-count":28,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2024,3,21]],"date-time":"2024-03-21T00:00:00Z","timestamp":1710979200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"},{"start":{"date-parts":[[2024,3,21]],"date-time":"2024-03-21T00:00:00Z","timestamp":1710979200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"funder":[{"DOI":"10.13039\/501100004837","name":"Ministerio de Ciencia e Innovaci\u00f3n","doi-asserted-by":"publisher","award":["PID2022-142143NB-I00","PID2022-142143NB-I00"],"award-info":[{"award-number":["PID2022-142143NB-I00","PID2022-142143NB-I00"]}],"id":[{"id":"10.13039\/501100004837","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2024,6]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>This paper values fixed-income (discrete- and continuous-time) European Asian and Australian options. We assume that the term structure of interest rates is modelled by the specification proposed in Moreno et al. (Econ Model 72:140\u2013150, 2018, <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" ext-link-type=\"uri\" xlink:href=\"https:\/\/doi.org\/10.1016\/j.econmod.2018.01.015\">https:\/\/doi.org\/10.1016\/j.econmod.2018.01.015<\/jats:ext-link>). We obtain closed-form expressions for the premiums of geometric average options and, for arithmetic average options, premiums are computed by numerical methods. We also perform a sensitivity analysis with respect to different parameters for both (geometric and arithmetic) options.<\/jats:p>","DOI":"10.1007\/s10479-024-05904-x","type":"journal-article","created":{"date-parts":[[2024,3,21]],"date-time":"2024-03-21T06:01:46Z","timestamp":1711000906000},"page":"167-196","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models"],"prefix":"10.1007","volume":"337","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4796-8820","authenticated-orcid":false,"given":"Bel\u00e9n","family":"Le\u00f3n-P\u00e9rez","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8866-5853","authenticated-orcid":false,"given":"Manuel","family":"Moreno","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2024,3,21]]},"reference":[{"issue":"8\u20139","key":"5904_CR1","doi-asserted-by":"publisher","first-page":"1267","DOI":"10.1016\/S0165-1889(97)00028-6","volume":"21","author":"P Boyle","year":"1997","unstructured":"Boyle, P., Broadie, M., & Glasserman, P. (1997). Monte Carlo methods for security pricing. Journal of Economic Dynamics and Control, 21(8\u20139), 1267\u20131321. https:\/\/doi.org\/10.1016\/S0165-1889(97)00028-6","journal-title":"Journal of Economic Dynamics and Control"},{"doi-asserted-by":"publisher","unstructured":"Brignone, R., Gonzato, L., & Sgarra, C. (2023). Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. Annals of Operations Research. https:\/\/doi.org\/10.1007\/s10479-022-05152-x","key":"5904_CR2","DOI":"10.1007\/s10479-022-05152-x"},{"key":"5904_CR3","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-04553-4","volume-title":"Interest rate models: Theory and practice","author":"D Brigo","year":"2001","unstructured":"Brigo, D., & Mercurio, F. (2001). Interest rate models: Theory and practice. 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