Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets

Journal of Banking and Finance

Volumn 32, Issue 10, 2008, Pages 2033-2045

  Fusai, Gianluca ^a,b   Marena, Marina ^c   Roncoroni, Andrea ^d,e  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c UNIVERSITY OF TURIN   (Italy)

^d ESSEC BUSINESS SCHOOL   (France)

^e BOCCONI UNIVERSITY   (Italy)

Author keywords

Asian options; C63; Commodity markets; Discrete monitoring; Energy markets; Fourier transform; G13; Laplace transform

Indexed keywords

EID: 51349112582     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.024     Document Type: Article

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