haku: @indexterm Mathematical models / yhteensä: 531
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| Tekijä: | Vecer, J. |
| Otsikko: | A new PDE approach for pricing arithmetic average Asian options |
| Lehti: | Journal of Computational Finance
2001 : SUMMER, VOL. 4:4, p. 105-113 |
| Asiasana: | OPTIONS OPTION PRICES OPTION VALUATION MATHEMATICAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | 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