An approximate closed-form formula of deferred arithmetic average Asian options

MaRDI QIDQ5318871zbMATH OpenFDO

Authors Dong Zhang, Yu'e An, Changyu Lu

Publication date 22 July 2009

zbMATH Keywords

option pricingBlack-Scholes modelAsian optionsrisk neutraldeferred

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Pricing Asian options via Taylor approximations
• Spectral Expansions for Asian (Average Price) Options
• On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation
• Analytical valuation of American-style Asian options
• Pricing of fixed-strike arithmetic Asian powered options

Cited in

(2)

• Pricing Asian options via Taylor approximations
• On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation

This page was built for publication: An approximate closed-form formula of deferred arithmetic average Asian options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5318871)