Abstract
Consider the valuation of an Asian call whose payoff at maturity N is given by
where K is a strike price and \( \bar S_N \) is the arithmetic mean of the path S(N) = (S1,…, S N ) of a stock with no dividends, i.e.,
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© 2003 Springer Science+Business Media New York
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Kariya, T., Liu, R.Y. (2003). Valuation of Derivatives Via Monte Carlo Methods. In: Asset Pricing. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-9230-7_7
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DOI: https://doi.org/10.1007/978-1-4419-9230-7_7
Publisher Name: Springer, Boston, MA
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