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. DOI https://doi.org/10.1016/j.amc.2010.08.025
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. DOI https://doi.org/10.1016/j.amc.2010.08.025
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. DOI https://doi.org/10.1016/j.amc.2010.08.025
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 > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 01 Feb 2013 15:56 |
| Last Modified: | 04 Dec 2024 06:34 |
| URI: | http://repository.essex.ac.uk/id/eprint/5444 |