Asian Options: Analytical Approach - Maple Application Center

Asian Options: Analytical Approach - Maple Application Center

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Application Center Applications Asian Options: Analytical Approach

Asian Options: Analytical Approach

Author

: Igor Hlivka

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Asian options are special case of standard financial options where the option's payoff depends on an average value of an underlying asset over the contract's life. The rationale for Asian options comes from various motivations - contrary to the standard option contract, the user may want / need an exposure to an average value of the underlying asset over the whole life of the contract rather than its terminal value.

Application Details

Publish Date: November 10, 2008
Created In: Maple 12
Language: English

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