| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1710142 | Applied Mathematics Letters | 2008 | 4 Pages |
Abstract
In this work we analyze the value of an Asian arithmetic option with an approach different from that used by Geman and Yor with Bessel processes in 1993. We obtain the same solution of the valuation problem, without using any previous results based on Bessel processes; by means of partial differential equations, integral transforms, and the program Mathematica.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
D.I. Cruz-Báez, J.M. González-Rodríguez,