An analytic formula for the price of an American-style Asian option of floating strike type |
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Authors: | S Gounden |
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Institution: | a School of Statistics and Actuarial Science, Westville Campus, University of KwaZulu-Natal, Durban 4000, South Africa b Centre for Computational Finance and Economic Agents, University of Essex, Colchester CO4 3SQ, UK |
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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. |
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Keywords: | American Asian Pricing options Floating strike |
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