William Shaw

King's College, London

Professor

Department of Mathematics

Strand

London, WC2R 2LS

United Kingdom

http://www.mth.kcl.ac.uk/staff/w_shaw.html

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Bounds for In-Progress Floating-Strike Asian Options Using Symmetry

Annals of Operation Research, Vol. 151, No. 1, 2007
Posted: 06 Mar 2008
University of Warwick, University of Warwick, King's College, London and University of Surrey

Abstract:

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Asian options, Floating strike Asian options, Put call symmetry, Bounds, Change of numéraire