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Pricing Asian options in a semimartingale model

✍ Scribed by Vecer, Jan; Xu, Mingxin

Book ID
117997167
Publisher
Taylor and Francis Group
Year
2004
Tongue
English
Weight
511 KB
Volume
4
Category
Article
ISSN
1469-7688

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A different approach for pricing Asian o
A different approach for pricing Asian options
✍ D.I. Cruz-BΓ‘ez; J.M. GonzΓ‘lez-RodrΓ­guez πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 149 KB

In this work we analyze the value of an Asian arithmetic option with an approach different from that used by Geman and Yor with Bessel processes in 1993. We obtain the same solution of the valuation problem, without using any previous results based on Bessel processes; by means of partial differenti