haku: @indexterm VALUATION / yhteensä: 677
viite: 222 / 677
Tekijä: | Hansen, A. T. Jörgensen, Peter Löchte |
Otsikko: | Analytical valuation of American-style Asian options |
Lehti: | Management Science
2000 : AUG, VOL. 46:8, p. 1116-1136 |
Asiasana: | OPTIONS VALUATION AMERICA ASIA |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA