An analytic formula for the price of an American-style Asian option of floating strike type
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Publication:613214
DOI10.1016/j.amc.2010.08.025zbMath1203.91291OpenAlexW2015481710MaRDI QIDQ613214
Publication date: 20 December 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.08.025
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
An Exact Formula for Pricing American Exchange Options with Regime Switching ⋮ An explicit analytic formula for pricing barrier options with regime switching ⋮ On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
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