Glover, Kristoffer; Peskir, Goran; Samee, Farman - Finance Discipline Group, Business School - 2009
completely endogenously) but also when the stock price movements are favourable he will generally receive high returns. We derive … function stays above
the payoff function (both expressed as percentage returns) within a margin of two percent.
The tightness … the advantage of (relative) tractability.
We remark that the full financial scope of the British Asian option goes beyond …