Communications in Mathematical Sciences

Volume 6 (2008)

Number 3

The derivatives of Asian call option prices

Pages: 557 – 568

DOI: https://dx.doi.org/10.4310/CMS.2008.v6.n3.a2

Authors

Jungmin Choi

Kyounghee Kim

Keywords

Asian option, derivatives of option prices, geometric Brownian motion, time integral

2010 Mathematics Subject Classification

Primary 60J65. Secondary 60G99.

Published 1 January 2008