๐”– Bobbio Scriptorium
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The Value of an Asian Option

โœ Scribed by L. C. G. Rogers and Z. Shi

Book ID
121267027
Publisher
Applied Probability Trust
Year
1995
Tongue
English
Weight
845 KB
Volume
32
Category
Article
ISSN
0021-9002

No coin nor oath required. For personal study only.

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We introduce a new type of option, similar to Asian options but where the averaging period is random: the average begins when the underlying price hits a barrier. We give a closed-form formula for the call price, based on approximation formulae for Asian options, in the case of a continuous average