Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 15 (2010) 29, pp. 7-13
This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity … arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present … Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems …