NOTE ON WEIGHTED AVERAGE STRIKE ASIAN OPTIONS
作者： Masatoshi Miyake , Hiroshi Inoue , Kuki-shi Saitama , Noda-shi Chiba
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摘要: Asian options are path-dependent and have payoffs which depend on the average price over a fixed period leading up to maturity date. This option is of interest important for thinly-traded assets since manipulation prohibited, both investor issuer may enjoy certain degree protection from caprice market. There several nice results with different approaches. In this paper, we consider propose more general weight instead usual simple average, it be possible control weights in light unexpected situation incurred. particular, focus strike weighted asset prices.
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