Analytic approximation formulae for pric
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Chueh-Yung Tsao; Chuang-Chang Chang; Chung-Gee Lin
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Article
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2003
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John Wiley and Sons
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English
β 190 KB
## Abstract In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing formula for forwardβstarting 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