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A P.D.E. approach to Asian options: analytical and numerical evidence

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Author Info
Alziary, Benedicte
Decamps, Jean-Paul
Koehl, Pierre-Francois
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 21 (1997)
Issue (Month): 5 (May)
Pages: 613-640
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Handle: RePEc:eee:jbfina:v:21:y:1997:i:5:p:613-640

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  1. Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre. [Downloadable!]
  2. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics. [Downloadable!]
  3. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  4. Shao, Renyuan & Roe, Brian, 2002. "The Design And Pricing Of Fixed And Moving Window Contracts: An Application Of Asian-Basket Option Pricing Methods To The Hog Finishing Sector," 2002 Annual meeting, July 28-31, Long Beach, CA 19823, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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This page was last updated on 2009-12-3.

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