Ritchken, Peter; Sankarasubramanian, L.; Vijh, Anand M. - In: Management Science 39 (1993) 10, pp. 1202-1213
This article values option contracts based on the average price realized over a finite time horizon. Such contracts are of importance to traders who periodically transact in spot markets and who require protection from adverse moves in their total accrued costs realized over their trading...