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Pricing American and Asian Options

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  • Pat Muldowney

Abstract

An analytic method for pricing American call options is provided; followed by an empirical method for pricing Asian call options. The methodology is the pricing theory presented in "A Modern Theory of Random Variation", by Patrick Muldowney, 2012.

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  • Pat Muldowney, 2015. "Pricing American and Asian Options," Papers 1507.05055, arXiv.org, revised Aug 2015.
    • Handle: RePEc:arx:papers:1507.05055
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    1. Ross Williams, 2013. "Introduction," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 46(4), pages 460-461, December.
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