| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4631196 | Applied Mathematics and Computation | 2010 | 14 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
S. Gounden, J.G. O’Hara,