OPTION PRICING FOR WEIGHTED AVERAGE OF ASSET PRICES

DOI10.1142/S0217595911003491zbMath1228.91071OpenAlexW2105336975MaRDI QIDQ3103657

Satoru Takahashi, Masatoshi Miyake, Hiroshi Inoue

Publication date: 8 December 2011

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0217595911003491

zbMATH Keywords

conditional expectationweighted sumsgeometric averagearithmetic averageweighted average option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• The Mathematics of Financial Derivatives
• Unnamed Item

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