Analytic approximation formulae for pricing forward-starting Asian options

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31329

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31329

Title:	Analytic approximation formulae for pricing forward-starting Asian options
Authors:	Tsao,CY;Chang,CC;Lin,CG
Contributors:	財務金融研究所
Date:	2003
Issue Date:	2010-07-06 17:42:23 (UTC+8)
Publisher:	中央大學
Abstract:	In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing formula for forward-starting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula coul
Relation:	JOURNAL OF FUTURES MARKETS
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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