Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
권호 표지

ON THE OPTION PRICES OF EUROPEAN ASIAN ARITHMETICAL OPTION

  • Choi, Won (Department of Mathematics University of Inchon)
  • Published : 2000.05.01

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Abstract

In this paper, we deal with the European Asian Arithmetical option and find the unique rational price associated with option and Asian arithmetical call-put parity.

Keywords

References

  1. The theory of stochastic processes I.I.Gihman;A.V.Skorohod
  2. Stochastics Processes and their Applications v.11 Martingales and stochastic integrals in the theory of continuous trading J.M.Harrison;S.R.Pliska
  3. Arbitrage pricing of contingent claims S. Muller