×

The value of an Asian option. (English) Zbl 0839.90013

Summary: This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
PDF BibTeX XML Cite
Full Text: DOI