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Start Over Descriptor "pricing options" Journal applied mathematics & computation
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1. An analytic formula for the price of an American-style Asian option of floating strike type

Author

Gounden, S. and O’Hara, J.G.

Subjects
*MATHEMATICAL formulas, *PRICING, *OPTIONS (Finance), *MATHEMATICAL symmetry, *EXOTIC options (Finance)
Abstract

Abstract: Average pricing is one of the main ingredients in determining the payoff associated with an Asian option. Since its beginnings in 1980 much has been written on the European-style Asian, especially with a fixed strike. In this article, we extend the work of Zhu to this exotic option. We present an analytic formula pricing an American-style Asian option of floating type. We also extend a symmetry result established by Henderson and Wojakowski. [Copyright &y& Elsevier]

Published
2010
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