Dassios, Angelos; Nagaradjasarma, Jayalaxshmi - In: Quantitative Finance 6 (2006) 4, pp. 337-347
Although the square-root process has long been used as an alternative to the Black-Scholes geometric Brownian motion model for option valuation, the pricing of Asian options on this diffusion model has never been studied analytically. However, the additivity property of the square-root process...