Evaluation of the Asian option by the dual martingale measure

Asia-Pacific Financial Markets

Volumn 6, Issue 2, 1999, Pages 183-194

  Shirakawa, Hiroshi ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Asian option; Backward equation; Dual martingale measure; Kummer's function

Indexed keywords

EID: 53149124430     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010097114285     Document Type: Review

References (12)

1. Bhattacharya, R. N. and Waymire, E. C. (1990) Stochastic Processes with Applications, John Wiley & Sons, Inc.
2. Delbaen, F. and Shirakawa, H. (1996) A note on the no arbitrage conditions for international financial markets, Financ. Engng and the Japanese Markets 3, 239-251.
3. Eydeland, A. and German, H. (1995) Asian options revisited: inverting the Laplace transform, Risk, April.
4. German, H. and Yor, M. (1993) Bessel processes, Asian options, and perpetuities, Math. Finance 3, 349-375.
5. Harrison, J. M. and Pliska, S. R. (1981) Martingales and stochastic integrals in the theory of continuous trading, Stochastic Processes and Their Applications 11, 381-408.
6. Harrison, J. M. and Pliska, S. R. (1983) A stochastic calculus model of continuous time trading: complete markets, Stochastic Processes and Their Applications 13, 313-316.
7. Kramkov, D. O. and Mordecky, E. (1995) Integral option, Theory Probab. Appl. 39, 162-172.
8. Karatzas, I. and Shreve, S. E. (1988) Brownian Motion and Stochastic Calculus, Springer-Verlag.
9. Takahashi, A. and He, H. (1995) A variable reduction technique for pricing average-rate options, J. Jap. Financ. Econom. 1, 3-23.
10. Rogers, L. C. G. and Shi, Z. (1995) The value of an Asian option, J. Appl. Prob. 32, 1077-1088.
11. Yor, M. (1992a) Some Aspects of Brownian Motion Part I: Some Special Functionals, Lecture Notes in Math., E.T.H. (Zürich), Basel, Brikhaüser.
12. Yor, M. (1992b) On some exponential functionals on Brownian motion, Adv. Appl. Prob. 24, 509-531.