Asians and Cash Dividends: Exploiting Symmetries in Pricing Theory
Asians and Cash Dividends: Exploiting Symmetries in Pricing Theory
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale invariance that exists in the theory of contingent claim pricing. This allows us to derive, in a natural way, a …