An analytic formula for the price of an American-style Asian option of floating strike type (Q613214): Difference between revisions

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An analytic formula for the price of an American-style Asian option of floating strike type
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    An analytic formula for the price of an American-style Asian option of floating strike type (English)
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    20 December 2010
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    From the authors' abstract: Average pricing is one of the main ingredients in determining the payoff associated with an Asian option. Since its beginnings in 1980 much has been written on the European-style Asian, especially with a fixed strike. In this article, we extend the work of Zhu to this exotic option. We present an analytic formula pricing an American-style Asian option of floating type. We also extend a symmetry result established by Henderson and Wojakowski.
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    American
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    Asian
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    pricing options
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    floating strike
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