Accurate pricing formulas for Asian options (Q2372053)

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Accurate pricing formulas for Asian options
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    Statements

    title
    Accurate pricing formulas for Asian options (English)
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    author
    Kuan-Wen Chen
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    Yuh-Dauh Lyuu
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    publication date
    10 July 2007
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    zbMATH Keywords
    option pricing
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    Asian option
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    fixed strike
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    floating strike
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    geometric Brownian motion
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    approximation
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    lognormal distribution
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H30
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    60H10
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    91G80
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    zbMATH DE Number
    5170439
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