An analytic formula for the price of an American-style Asian option of floating strike type (Q613214): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.amc.2010.08.025 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2015481710 / rank | |||
Normal rank |
Revision as of 03:41, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An analytic formula for the price of an American-style Asian option of floating strike type |
scientific article |
Statements
An analytic formula for the price of an American-style Asian option of floating strike type (English)
0 references
20 December 2010
0 references
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.
0 references
American
0 references
Asian
0 references
pricing options
0 references
floating strike
0 references