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

zbMATH Open1174.91472MaRDI QIDQ5318871FDOQ5318871

Authors: Dong Zhang, Yu'e An, Changyu Lu 

Publication date: 22 July 2009

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zbMATH Keywords

option pricingBlack-Scholes modelAsian optionsrisk neutraldeferred

Mathematics Subject Classification ID

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

Cited In (2)

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

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