Moshe Arye Milevsky, and Steven E. Posner, Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution, Journal of Financial and Quantitative Analysis Vol. 33, No. 3, September 1998 Home/Search Document Not in Database Summary Related Articles |
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Pricing Virtual Paths with Quality-of-Service Guarantees as.. - Rasmusson (2001) (Correct)
....i, after the Girsanov transform to eliminate resource Sm ( TC = with lim r 0TC = T 2 T 1 . Corollary. 4) The partial derivative of the network option with strike price K is S) TC KQ [min j C j K] There is no closed form for the sum of lognormal variables [17], which makes it di cult to reduce the Q[ terms further, but since S(T ) has a closed form under the risk neutral measure Q, the option price can be approximated with Monte Carlo simulation. Note that under the risk neutral measure one, S(T ) can be simulated without having to simulate the ....
Moshe Arye Milevsky, and Steven E. Posner, Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution, Journal of Financial and Quantitative Analysis Vol. 33, No. 3, September 1998
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