MIYAKE, MASATOSHI; INOUE, HIROSHI; TAKAHASHI, SATORU - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 05, pp. 651-672
Average options are path-dependent and have payoffs which depend on the average price over a fixed period leading up to the maturity date. This option is of interest and important for thinly-traded assets since price manipulation is prohibited, and both the investor and issuer may enjoy a...