The Istanbul option: Where the standard European option becomes Asian

DOI10.1016/S0167-6687(97)00028-0zbMath0894.90019MaRDI QIDQ1381465

Michel Jacques

Publication date: 17 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

option pricingAsian optionsstrong Markov property of Brownian motion

Mathematics Subject Classification ID

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Corrected diffusion approximations in certain random walk problems
• Brownian approximations to first passage probabilities
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
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