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Received on 15. June 2009
Accepted on 2. February 2010 Published online on 1. December 2010 |
Valuation of the American-Style of Asian Option by a Solution to an Integral
Equation
by Tomáš Bokes
Keywords
option pricing, martingales, exotic options, Asian options, American option.
Mathematics Subject Classification
(2000) 35K15, 35K55, 90A09, 91B28.
BibTeX reference
@ARTICLE{aumb1602,
author = {Tomáš Bokes},
title = {Valuation of the American-Style of Asian Option by a Solution to an Integral Equation},
journal = {Acta Univ. M. Belii Ser. Math.},
year = {2010},
volume = {16},
ages = {17--23},
isbn = {978-80-8083-955-0}
}