Sandmann, Klaus; Nielsen, J. Aase - In: Finance and Stochastics 6 (2002) 3, pp. 355-370
The aim of the paper is to develop pricing formulas for long term European type Asian options written on the exchange rate in a two currency economy. The exchange rate as well as the foreign and domestic zero coupon bond prices are assumed to follow geometric Brownian motions. <p>The emphasis is...</p>