THE VALUE OF AN ASIAN OPTION

Authors
ROGERS LCG SHI Z
Citation
Lcg. Rogers et Z. Shi, THE VALUE OF AN ASIAN OPTION, Journal of Applied Probability, 32(4), 1995, pp. 1077-1088
Citations number
13
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
32
Issue
4
Year of publication
1995
Pages
1077 - 1088
Database
ISI
SICI code
0021-9002(1995)32:4<1077:TVOAAO>2.0.ZU;2-K
Abstract
This paper approaches the problem of computing the price of an Asian o ption in two different ways. Firstly, exploiting a scaling property, w e reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate tha t it is essentially the true price.