• 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