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| Author: | Alziary, Benedicte Decamps, Jean-Paul Koehl, Pierre-Francois |
| Title: | A P.D.E. approach to Asian options: Analytical and numerical evidence |
| Journal: | Journal of Banking and Finance
1997 : MAY, VOL. 21:5, p. 613-640 |
| Index terms: | EQUATIONS MATHEMATICS OPTIONS ASIA |
| Language: | eng |
| Abstract: | The paper presents a one-state-variable partial differential equation which characterizes the price of a European type Asian option. The result is explained and related to previous research. New results on the hedging of an Asian and European options are derived and analytical and numerical analysis on the comparison between Asian and European options are proposed. The methodology applies to "fixed-strike" and "floating-strike" Asian options but the focus of the paper is on "backward-starting" Asian options. However, the approach is general and the adaption of the main results to the case of "forward-starting" Asian options is explained. |
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