THE ISTANBUL OPTION - WHERE THE STANDARD EUROPEAN OPTION BECOMES ASIAN

Authors
JACQUES M
Citation
M. Jacques, THE ISTANBUL OPTION - WHERE THE STANDARD EUROPEAN OPTION BECOMES ASIAN, Insurance. Mathematics & economics, 21(2), 1997, pp. 139-152
Citations number
21
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
21
Issue
2
Year of publication
1997
Pages
139 - 152
Database
ISI
SICI code
0167-6687(1997)21:2<139:TIO-WT>2.0.ZU;2-4
Abstract
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 pric e, based on approximation formulae for Asian options, in the case of a continuous average and in the case of a discrete arithmetic average. (C) 1997 Elsevier Science B.V.