Approximate valuation of average options

DOI10.1007/BF02282045zbMath0785.90022OpenAlexW2039450310MaRDI QIDQ1313150

Hideki Iwaki, Masaaki Kijima, Toshihiro Yoshida

Publication date: 13 April 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02282045

zbMATH Keywords

approximationsBlack-Scholes equationaverage options of European typecontinuous average call option pricetheoretical upper and lower bounds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On some exponential functionals of Brownian motion
• Option pricing: A simplified approach

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