๐”– Bobbio Scriptorium
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A note on volume-averaging

โœ Scribed by T.N. Narasimhan


Publisher
Elsevier Science
Year
1980
Tongue
English
Weight
486 KB
Volume
3
Category
Article
ISSN
0309-1708

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A general expression is derived for the price of a European-style Asian contingent claim in which the terminal value depends on both the underlying asset price and the continuous geometric average of the price of the underlying asset over the life of the claim. Specific formulas are derived for Asia