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Analytic Approximation of Finite-Maturity Timer Option Prices

✍ Scribed by Li, Minqiang; Mercurio, Fabio

Book ID
121716043
Publisher
John Wiley and Sons
Year
2014
Tongue
English
Weight
346 KB
Volume
35
Category
Article
ISSN
0270-7314

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πŸ“œ SIMILAR VOLUMES

Analytic approximation formulae for pric
Analytic approximation formulae for pricing forward-starting Asian options
✍ Chueh-Yung Tsao; Chuang-Chang Chang; Chung-Gee Lin πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 190 KB

## 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