Mathematical Finance → Financial Mathematics Literature Review This article is moved to https://sheir.org/jlr/review/financial-mathematics-literature-review-from-brownian-motion-to-black-scholes-model/
Power Asian Option Formula Derivation
Here, we will derive formulas for European style power Asian call and put options when we are taking geometric average of the underlying’s price. We will put expectation and variance of the power geometric average into Black’s formula (generalized version), and will simplify it to obtain option formulas. As we know that the expectation and […]
Forward
Before saying anything about forwards (or forward contracts) we should recall what spot contracts are? Spot Contract A spot contract is an agreement to buy or sell an asset on the on the spot for an agreed price. Forward A forward (or forward contract) is an agreement to buy or sell an asset at an […]