The value of an Asian option

• DOI: 10.1017/s0021900200103559
• Publication Date: 2016-07-18T06:27:08Z
• Authors: L. C. G. Rogers; Z. Shi
• Keywords: 0502 economics and business; 05 social sciences; 0101 mathematics; 01 natural sciences

This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.