The Distribution of the Sum of Log-normal Variables and Exact Pricing of the Arithmetic Asian Options : A Simple, Explicit Formula

We overcome a long-standing obstacle in statistics. In doing so, we show that the distribution of the sum of log-normal variables is log-normal. Furthermore, we offer a breakthrough result in finance. In doing so, we introduce a simple, exact and explicit formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula

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Year of publication:	2020
Authors:	Alghalith, Moawia
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory \| Statistische Verteilung \| Statistical distribution

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 16, 2019 erstellt
Other identifiers:	10.2139/ssrn.3454650 [DOI]
Classification:	C5 - Econometric Modeling ; C0 - Mathematical and Quantitative Methods. General ; G0 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012847738