Approximate valuation of average options

DOI10.1007/BF02282045MaRDI QIDQ1313150zbMATH OpenOpenAlexFDO

Authors Hideki Iwaki, Masaaki Kijima, Toshihiro Yoshida

Publication date 13 April 1994

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02282045

zbMATH Keywords

approximationsaverage options of European typeBlack-Scholes equationcontinuous average call option pricetheoretical upper and lower bounds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 3852171 (Why is no real title available?)
• scientific article; zbMATH DE number 55167 (Why is no real title available?)
• On some exponential functionals of Brownian motion
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(9)

• Average interest rate caps
• Path averaged option value criteria for selecting better options
• Option pricing for weighted average of asset prices
• Average options for jump diffusion models
• Options on the minimum or the maximum of two average prices
• scientific article; zbMATH DE number 4041570 (Why is no real title available?)
• The Valuation of Path Dependent Contracts on the Average
• A Note on Average Rate Options with Discrete Sampling
• Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models

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