The value of an Asian option

L. C. G. Rogers · Zhan Shi

532 citations0/0 files storedJournal of Applied Probability

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 532 citations exist upstream.

References

1988Theory of Financial Decision Making.1990A pricing method for options based on average asset values 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

Cited by

2002The concept of comonotonicity in actuarial science and finance: applications 2003Pricing and Hedging Spread Options 2001A new PDE approach for pricing arithmetic average Asian options 1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution 2004Spectral Expansions for Asian (Average Price) Options 2000Upper and lower bounds or sum of random variables 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications 1996PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.