Abstract
By appropriate scaling of the variables, the reduction in the dimensionality of the partial differential equation formulation of an American-style Asian option model is achieved. The integral representation of the early exercise premium can be obtained in a succinct manner. The exercise policy of Asian options with the early exercise provision can then be examined.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Theoretical and Applied Finance
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
