New Development on Valuation of Asian Options
XU Duan, CAI Jin xu (Department of Statistics, Hebei University of Trade & Econmics, Shijiazhuang 050061,China)
The valuation of Asian options is an important research topic of modern options pricing theories. Up to now, no accurate (closed form) pricing formulation is obtained for Asian options. The existent approaches all focus on how to find an appropriate solution. Our paper presents a brief review of the recent achievements in this field. Two different appropriate approaches are discussed for the case of arithmetic average price options.
【CateGory Index】： F830.9