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A Quasi-Analytical Pricing Model for Arithmetic Asian Options

✍ Scribed by Jianqiang Sun; Langnan Chen; Shiyin Li

Book ID
112095575
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
637 KB
Volume
aop
Category
Article
ISSN
0270-7314

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πŸ“œ SIMILAR VOLUMES

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## Abstract In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing formula for forward‐starting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula could induce large pricing errors or