Closed form for geometric average option
Posted: September 19th, 2007, 6:38 am
I try obtain a closed form for a geometric average option with fixed strike following the methodology of PDE. I get bogged down in the equation with non-constant coefficients (after two changes of variable), depending on t, and I don't which is the change of variables suitable to obtain a equation with constant coeffients (Willmot's Book don't show explicitly this change).Anyone know where I can find the complete process to obtain this closed form following PDE approach.Best regards and Thanks a lot.