BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
Author:
Affiliation:
1. Frankfurt School of Finance and Management
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12012/fullpdf
Reference18 articles.
1. The Pricing of Discretely Sampled Asian and Lookback Options: A Change of Numeraire Approach;Andreasen;J. Comput. Finance,1998
2. Pricing Asian Options for Jump Diffusions;Bayraktar;Math. Finance,2011
3. Discretely Adjusted Option Hedges;Boyle;J. Finan. Econ.,1980
4. Equivalence of Fixed and Floating Strike Asian and Lookback Options;Eberlein;Stoch. Process. Appl.,2005
5. Robustness of the Black and Scholes Formula;El Karoui;Math. Finance,1998
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