𝔖 Bobbio Scriptorium
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ANALYTIC APPROXIMATIONS FOR MULTI-ASSET OPTION PRICING

✍ Scribed by Carol Alexander; Aanand Venkatramanan


Book ID
111043231
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
454 KB
Volume
22
Category
Article
ISSN
0960-1627

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Analytic approximation formulae for pric
✍ 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