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| Author: | Hansen, A. T. Jörgensen, Peter Löchte |
| Title: | Analytical valuation of American-style Asian options |
| Journal: | Management Science
2000 : AUG, VOL. 46:8, p. 1116-1136 |
| Index terms: | OPTIONS VALUATION AMERICA ASIA |
| Language: | eng |
| Abstract: | This article derives the first analytical pricing formulas for American-style Asian options of the so-called floating strike type. Geometric as well as arithmetic averaging is considered. |
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