KUNITA, HIROSHI; YAMADA, TAKUYA - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 143-166
In this paper, we study the problem of pricing average strike options in the case where the price processes are jump diffusion processes. As to the striking value we take the geometric average of the price process. Two cases are studied in details: One is the case where the jumping law of the...