《analytic valuation amer style asian option》.pdf

Analytical Valuation of American-Style Asian Options Author(s): Asbjørn T. Hansen and Peter Løchte Jørgensen Reviewed work(s): Source: Management Science, Vol. 46, No. 8 (Aug., 2000), pp. 1116-1136 Published by: INFORMS Stable URL: /stable/2661588 . Accessed: 22/01/2013 02:54 Your use of the JSTOR archive indicates your acceptance of the Terms Conditions of Use, available at . /page/info/about/policies/terms.jsp . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@. . INFORMS is collaborating with JSTOR to digitize, preserve and extend access to Management Science. This content downloaded on Tue, 22 Jan 2013 02:54:05 AM All use subject to JSTOR Terms and Conditions Analytical Valuation of American-Style Asian Options Asbj0rn T. Hansen * Peter L0chte J0rgensen 20 London United DresdnerKleinwort Fenchurch EC3P3DB, Kingdom Global Benson, Street, Equities, UniversityofAarhus,Building350, DK-8000AarhusC, Denmark DepartmentofManagement, * ecolochte@econ.au.dk asbjoern.hansen@ T his article der