Gounden, S and O’Hara, JG (2010) 'An analytic formula for the price of an American-style Asian option of floating strike type.' Applied Mathematics and Computation, 217 (7). pp. 2923-2936. ISSN 0096-3003

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Abstract

Average pricing is one of the main ingredients in determining the payoff associated with an Asian option. Since its beginnings in 1980 much has been written on the European-style Asian, especially with a fixed strike. In this article, we extend the work of Zhu to this exotic option. We present an analytic formula pricing an American-style Asian option of floating type. We also extend a symmetry result established by Henderson and Wojakowski. © 2010 Elsevier Inc. All rights reserved.

Item Type:	Article
Uncontrolled Keywords:	American; Asian; Pricing options; Floating strike
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions:	Faculty of Science and Health Faculty of Science and Health > Mathematical Sciences, Department of
SWORD Depositor:	Elements
Depositing User:	Elements
Date Deposited:	01 Feb 2013 15:56
Last Modified:	18 Aug 2022 11:04
URI:	http://repository.essex.ac.uk/id/eprint/5444

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