Title of article
The Istanbul option: Where the standard European option becomes Asian
Author/Authors
Jacques، نويسنده , , Michel، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
14
From page
139
To page
152
Abstract
We introduce a new type of option, similar to Asian options but where the averaging period is random: the average begins when the underlying price hits a barrier. We give a closed-form formula for the call price, based on approximation formulae for Asian options, in the case of a continuous average and in the case of a discrete arithmetic average.
Keywords
Stopping time , Strong Markov property of Brownian motion , Asian option , Option Pricing
Journal title
Insurance Mathematics and Economics
Serial Year
1997
Journal title
Insurance Mathematics and Economics
Record number
1541781
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