Ewald, Christian-Oliver; Menkens, Olaf; Hung Marten … - In: Journal of Economic Dynamics and Control 37 (2013) 5, pp. 1001-1018
We show that Australian options are equivalent to fixed or floating strike Asian options and consequently that by … studying Asian options from the Australian perspective and vice versa, much can be gained. One specific application of this … “Australian approach” leads to a natural dimension reduction for the pricing PDE of Asian options, with or without stochastic …