Australian Asian options
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More about this item
KeywordsAsian options; arithmetic average; geometric average; edgeworth expansion; lognormal distribution; gamma distribution;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-26 (All new papers)
- NEP-FIN-2004-05-26 (Finance)
- NEP-SEA-2004-05-16 (South East Asia)
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