𝔖 Bobbio Scriptorium
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Spectral Expansions for Asian (Average Price) Options

✍ Scribed by Linetsky, Vadim


Book ID
118173009
Publisher
INFORMS
Year
2004
Tongue
English
Weight
175 KB
Volume
52
Category
Article
ISSN
0030-364X

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A different approach for pricing Asian o
✍ 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