On the qualitative effect of volatility and duration on prices of Asian options

Finance Research Letters

Volumn 5, Issue 3, 2008, Pages 162-171

  Carr, Peter ^a   Ewald, Christian Oliver ^b   Xiao, Yajun ^c  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF ST ANDREWS   (United Kingdom)

^c GOETHE UNIVERSITY   (Germany)

Author keywords

Asian options; Duration; Qualitative risk management; Vega; Volatility

Indexed keywords

EID: 50249149492     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2008.05.001     Document Type: Article

References (11)

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