search query: @journal_id 1747 / total: 13
reference: 3 / 13
| Author: | Vecer, J. |
| Title: | A new PDE approach for pricing arithmetic average Asian options |
| Journal: | Journal of Computational Finance
2001 : SUMMER, VOL. 4:4, p. 105-113 |
| Index terms: | OPTIONS OPTION PRICES OPTION VALUATION MATHEMATICAL MODELS |
| Language: | eng |
| Abstract: | Arithmetic average Asian options are studied. It is observed that the Asian option is a special case of the option on a traded account. The price of the Asian option is characterized by a simple one-dimensional partial differential equation which could be applied to both continuous and discrete average Asian options. |
SCIMA