Title of article :
A different approach for pricing Asian options Original Research Article
Author/Authors :
D.I. Cruz-B?ez، نويسنده , , J.M. Gonz?lez-Rodr?guez، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Pages :
4
From page :
303
To page :
306
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.
Keywords :
Option pricing , Asian arithmetic option , Laplace transform , Mathematica
Journal title :
Applied Mathematics Letters
Serial Year :
2008
Journal title :
Applied Mathematics Letters
Record number :
898572
Link To Document :
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