Abstract
This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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