Hoogland, Jiri; Neumann, Dimitri - EconWPA - 2001
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To … pricing. This allows us to derive, in a natural way, a simple PDE for the price of arithmetic Asians options. In the case of … European average strike options, a proper choice of numeraire reduces the dimension of this PDE to one, leading to a PDE …