A new PDE approach for pricing arith - metic average Asian options ∗
نویسنده
چکیده
In this paper, arithmetic average Asian options are studied. It is observed that the Asian option is a special case of the option on a traded account. The price of the Asian option is characterized by a simple one-dimensional partial differential equation which could be applied to both continuous and discrete average Asian option. The article also provides numerical implementation of the pricing equation. The implementation is fast and accurate even for low volatility and/or short maturity cases.
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