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
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