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
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
Journal title :
Insurance Mathematics and Economics