ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE

Lixin Wu, Yue Kuen Kwok and Hong Yu
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Lixin Wu: Department of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, China
Yue Kuen Kwok: Department of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, China
Hong Yu: Department of Information Systems, School of Computing, National University of Singapore, 10 Kent Ridge Crescent, 119260, Singapore

International Journal of Theoretical and Applied Finance (IJTAF), 1999, vol. 02, issue 01, 101-111

Abstract: By appropriate scaling of the variables, the reduction in the dimensionality of the partial differential equation formulation of an American-style Asian option model is achieved. The integral representation of the early exercise premium can be obtained in a succinct manner. The exercise policy of Asian options with the early exercise provision can then be examined.

Keywords: JEL; classification; code; G130 (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1142/S021902499900008X

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