A different approach for pricing Asian options

被引：7

作者：

Cruz-Baez, D. I. ^{[1
]}

Gonzalez-Rodriguez, J. M. ^{[1
]}

机构：

[1] Univ La Laguna, Dept Econ Aplicada, Fac Ciencias Econ & Empresariales, Tenerife 38071, Spain

来源：

APPLIED MATHEMATICS LETTERS | 2008年 / 21卷 / 03期

关键词：

option pricing; Asian arithmetic option; Laplace transform; Mathematica;

D O I：

10.1016/j.aml.2007.03.016

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this work we analyze the value of an Asian arithmetic option with an approach different from that used by Geman and Yor with Bessel processes in 1993. We obtain the same Solution of the valuation problem, without using any previous results based on Bessel processes; by means of partial differential equations, integral transforms, and the program Mathematica. (c) 2007 Elsevier Ltd. All rights reserved.

引用

页码：303 / 306

页数：4

共 9 条

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