1995/12/01 by L. C. G. Rogers, Zhan Shi · 4 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Complex Systems and Time Series Analysis #Mathematics #Asian option #Property (philosophy) #Scaling #Value (mathematics) #Mathematical optimization #Mathematical economics #Upper and lower bounds #Applied mathematics #Valuation of options #Econometrics #Statistics #Mathematical analysis #Geometry
paper · doi:10.2307/3215221
openalex publication_date 1995/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/02
This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.