Communications in Mathematical Sciences

Volume 6 (2008)

Number 3

The derivatives of Asian call option prices

Pages: 557 – 568

DOI: http://dx.doi.org/10.4310/CMS.2008.v6.n3.a2

Authors

Jungmin Choi

Kyounghee Kim

Keywords

Asian option; derivatives of option prices; geometric Brownian motion; time integral

2010 Mathematics Subject Classification

Primary 60J65. Secondary 60G99.

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