Hansen, Asbjørn T.; Jørgensen, Peter Løchte - In: Management Science 46 (2000) 8, pp. 1116-1136
This article derives the first analytical pricing formulas for American-style Asian options of the so-called floating strike type. Geometric as well as arithmetic averaging is considered. The setup is a standard Black-Scholes framework where the price of the underlying security evolves according...