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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
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3215221
Page Count: 12
You can always find the topics here!Topics: Asians, Mathematical problems, Prices, Financial risk, Brownian motion, Call options, Strike prices, Average prices, Boundary conditions
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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.
Journal of Applied Probability © 1995 Applied Probability Trust