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A different approach for pricing Asian options

✍ Scribed by D.I. Cruz-Báez; J.M. González-Rodríguez

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
149 KB
Volume
21
Category
Article
ISSN
0893-9659

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✦ Synopsis

In this work we analyze the value of an Asian arithmetic option with an approach different from that used by Geman and Yor with Bessel processes in 1993. We obtain the same solution of the valuation problem, without using any previous results based on Bessel processes; by means of partial differential equations, integral transforms, and the program Mathematica.

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