Pricing Discretely Monitored Asian Options by Maturity Randomization

Gianluca Fusai, Daniele Marazzina, Marina Marena. Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM J. Financial Math., 2(1):383-403, 2011. [doi]

Authors

Gianluca Fusai

This author has not been identified. Look up 'Gianluca Fusai' in Google

Daniele Marazzina

This author has not been identified. Look up 'Daniele Marazzina' in Google

Marina Marena

This author has not been identified. Look up 'Marina Marena' in Google