Analytic approximation formulae for pricing forward-starting Asian options

In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing formula for forward‐starting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula could induce large pricing errors or unreasonable...

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Veröffentlicht in:	The journal of futures markets 2003-05, Vol.23 (5), p.487-516
Hauptverfasser:	Tsao, Chueh-Yung, Chang, Chuang-Chang, Lin, Chung-Gee
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Asia Assets Capital market Economic models Economics Finance Financial economics Foreign exchange rates Institutional investments Interest rates Investors Mathematical analysis Monte Carlo simulation Option pricing Prices Pricing Put & call options Securities prices Studies Volatility
Online-Zugang:	Volltext
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