An analytic formula for the price of an American-style Asian option of floating strike type (Q613214)
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scientific article; zbMATH DE number 5828074
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytic formula for the price of an American-style Asian option of floating strike type |
scientific article; zbMATH DE number 5828074 |
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An analytic formula for the price of an American-style Asian option of floating strike type (English)
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20 December 2010
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From the authors' abstract: Average pricing is one of the main ingredients in determining the payoff associated with an Asian option. Since its beginnings in 1980 much has been written on the European-style Asian, especially with a fixed strike. In this article, we extend the work of Zhu to this exotic option. We present an analytic formula pricing an American-style Asian option of floating type. We also extend a symmetry result established by Henderson and Wojakowski.
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American
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Asian
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pricing options
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floating strike
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