Home Programming Code Video Paper Review Interview News Review Others About Me Write for Us Personal Blog. Unified Asian Option Pricing Posted by abiao at The trackback url will expire after Asian options are securities with payoff which depends on the average of the underlying stock price over certain time interval.
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Since no general analytical solution for the price of the Asian option is known, a variety of techniques have been developed to analyze arithmetic average Asian options. A simple and numerically stable 2-term partial differential equation characterizing the price of any type of arithmetically averaged Asian option is given. The approach includes both continuously and discretely sampled options and it is easily extended to handle continuous or discrete dividend yields.
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