The square-root process and Asian options

  title={The square-root process and Asian options},
  author={Angelos Dassios and Jayalaxshmi Nagaradjasarma}
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 makes it a very suitable model for the analysis of Asian options. In this paper, we develop explicit prices for digital and regular Asian options. We also obtain distributional results concerning the… CONTINUE READING
7 Citations
38 References
Similar Papers


Publications referenced by this paper.
Showing 1-10 of 38 references

Table of integrals

  • I. S. Gradshteyn, I. M. Ryzhik
  • series and products, Academic Press
  • 1980
Highly Influential
4 Excerpts

Exotic sprectra

  • V. Linetsky
  • Risk, April
  • 2000
Highly Influential
5 Excerpts

An introduction to stochastic calculus applied to finance

  • D. Lamberton, B. Lapeyre
  • Chapman and Hall
  • 1995
Highly Influential
3 Excerpts

Quelques relations entre processus de bessel

  • M. Yor, H. Geman
  • options asiatiques et fonctions confluentes…
  • 1992
Highly Influential
4 Excerpts

The valuation of options for altervative stochastic processes

  • J. C. Cox, S. A. Ross
  • Journal of Financial Economics, 3
  • 1976
Highly Influential
4 Excerpts

Similar Papers

Loading similar papers…