The value of an Asian option
- 1 December 1995
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 32 (4) , 1077-1088
- https://doi.org/10.2307/3215221
Abstract
This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.Keywords
This publication has 6 references indexed in Scilit:
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIESMathematical Finance, 1993
- Pricing European average rate currency optionsJournal of International Money and Finance, 1992
- On some exponential functionals of Brownian motionAdvances in Applied Probability, 1992
- A Quick Algorithm for Pricing European Average OptionsJournal of Financial and Quantitative Analysis, 1991
- A pricing method for options based on average asset valuesJournal of Banking & Finance, 1990
- Theory of Financial Decision Making.The Journal of Finance, 1988