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The Value of an Asian Option

L. C. G. Rogers and Z. Shi
Journal of Applied Probability
Vol. 32, No. 4 (Dec., 1995), pp. 1077-1088
DOI: 10.2307/3215221
Stable URL: http://www.jstor.org/stable/3215221
Page Count: 12
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Value of an Asian Option
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Abstract

This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.

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