フナハシ ヒデハル   Funahashi Hideharu
  舟橋 秀治
   所属   神奈川大学  経済学部 経済学科/現代ビジネス学科
   職種   准教授
言語種別 英語
発行・発表の年月 2017/10
形態種別 学術雑誌
査読 査読あり
標題 Funahashi H and Kijima M (2017), "A Unified Approach for the Pricing of Generalized Asian Options," Review of Derivatives Research, 20(3), 203-229
執筆形態 共著
掲載誌名 Review of Derivatives Research
掲載区分国外
巻・号・頁 20(3),pp.203-229
著者・共著者 Hideharu Funahashi, Masaaki Kijima
概要 In this paper, we consider generalized Asian options and propose a unified approximation method for the pricing of such options when the underlying process is a diffusion. Through numerical examples, we show that our approximation method is accurate enough to be used in practice for the pricing of any type of Asian options that has been treated separately in the literature. Comparisons are made with the existing methods in the literature to support the usefulness of our method.