Asian option closed form
For this type of option it does not exist any closed form analytical formula for The Black-Scholes formula will in general overestimate the Asian option value.
Asian options are difficult to price analytically. Even though they have attracted much attention in recent years, there is still no closed-form solution available for.
Pricing models of Asian options. • Partial differential approach for continuous models. • Closed form pricing formulas for discretely monitored models.
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Pricing Asian Options
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