Chapter 6. APPROXIMATING ARITHMETIC ASIAN OPTIONS WITH CORRESPONDING GEOMETRIC ASIAN OPTIONS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 6 in Exotic Options:A Guide to Second Generation Options, 1997, pp 133-159 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONTHE GENERAL MEANPROPERTIES OF THE GENERAL MEANMonotonicityBrownian MotionTHE DIFFERENCE BETWEEN ARITHMETIC AND GEOMETRIC MEANSAPPROXIMATING ARITHMETIC MEANS WITH GEOMETRIC MEANSAPPROXIMATING ARITHMETIC ASIAN OPTIONS WITH GEOMETRIC ASIAN OPTIONSCONTINUOUS ARITHMETIC ASIAN OPTIONSARITHMETIC-AVERAGE-STRIKE ASIAN OPTIONSGENERAL MEANS AND LOOKBACK OPTIONSAN APPLICATIONCONCLUSIONSAPPENDIXQUESTIONS AND EXERCISESQuestionsExercises

Date: 1997
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