Asian options with zero cost-of-carry: EEX options on freight and iron ore futures

DOI10.1007/S10203-020-00283-XzbMath1467.91186OpenAlexW3029948525MaRDI QIDQ2044818

Espen Gaarder Haug

Publication date: 10 August 2021

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00283-x

zbMATH Keywords

Asian optionsarithmetic average rate optionsEuropean energy exchangefreight futures optionsiron ore futures optionszero cost-of-carry

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The log-normal approximation in financial and other computations

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