8 search results - page 1 / 2 » Accurate pricing formulas for Asian options |
AMC
2007
13 years 5 months ago
2007
Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist...
AMC
2005
13 years 5 months ago
2005
Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do ...
JCAM
2010
13 years 4 days ago
2010
Asian options, basket options and spread options have been extensively studied in literature. However, few papers deal with the problem of pricing general Asian basket spread opti...
SODA
2004
ACM
13 years 6 months ago
2004
ACM
Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a longstanding research and practical problem. Asian options can be priced on t...
SIGARCH
2010
13 years 2 days ago
2010
Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the in...