Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
권호 표지

ON THE OPTION PRICES OF EUROPEAN ASIAN ARITHMETICAL OPTION

  • Shin, V.I. (Institute of Problems and Informatics, Russian Academy of Sciences) ;
  • Choi, Won (Department of Mathematics, University of Inchon)
  • Published : 2000.09.01

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Abstract

In this paper, we deal with the European "Asian arithmetical option" and find the unique rational price associated with this option and Asian arithmetical call-put parity.

Keywords

References

  1. The theory of stochastic processes I. I. Gihman;A. V. Skorohod
  2. Stochastics Processes and their Applications v.11 Martingales and stochastic integrals in the theory of continuous trading J. M. Harrison;S. R. Pliska
  3. Arbitrage pricing of contingent claims S. Muller