Output details
11 - Computer Science and Informatics
University of Essex
Article title
An analytic formula for the price of an American-style Asian option of floating strike type
Type
D - Journal article
Title of journal
Applied Mathematics and Computation
Article number
-
Volume number
217
Issue number
7
First page of article
2923
ISSN of journal
0096-3003
Year of publication
2010
URL
-
Number of additional authors
1
Additional information
<13>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 and present an analytic formula pricing an American-style Asian option of floating type. In passing, we identify the property that an exotic option must possess in order to be extended to this case.
Interdisciplinary
-
Cross-referral requested
-
Research group
A - Artificial Intelligence
Citation count
1
Proposed double-weighted
No
Double-weighted statement
-
Reserve for a double-weighted output
No
Non-English
No
English abstract
-