Analytical valuation of American-style Asian options

Management Science

Volumn 46, Issue 8, 2000, Pages 1116-1136

  Hansen, Asbjørn T ^a   Jørgensen, Peter Løchte ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; MANAGEMENT SCIENCE; MARKETING; MARKOV PROCESSES; NORMAL DISTRIBUTION; NUMERICAL METHODS; PROBABILITY; SAMPLING;

AMERICAN OPTIONS; ANALYTICAL VALUATION FORMULAS; ASIAN OPTIONS; CHANGE OF NUMERAIRE;

SALES;

EID: 0034247461     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.46.8.1116.12027     Document Type: Article

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