An analytic formula for the price of an American-style Asian option of floating strike type

被引：8
|
作者：
Gounden, S. [2 ]
O'Hara, J. G. [1 ,2 ]
机构：
[1] Univ Essex, Ctr Computat Finance & Econ Agents, Colchester CO4 3SQ, Essex, England
[2] Univ KwaZulu Natal, Sch Stat & Actuarial Sci, ZA-4000 Durban, South Africa
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2010年 / 217卷 / 07期
关键词：
American; Asian; Pricing options; Floating strike; ANALYTICAL VALUATION;
D O I：
10.1016/j.amc.2010.08.025
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 2010 Published by Elsevier Inc.
引用
收藏
页码：2923 / 2936
页数：14
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