On the Valuation of Arithmetic-average Asian Options: Integral Representations
نویسنده
چکیده
This paper has its origin in that developement in the analysis of Asian options initiated by [Y]. Yor’s valuation formula gives clear evidence that pricing Asian options is a problem of some intrinsic difficulty indeed for which no, in the strict sense, simple solution should be expected. Instead, one should, as a first step, ask for structurally clear solutions, and only then, as a second step, consider in particular questions of a more computational nature.
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