Pricing of Asian exchange rate options under stochastic interest rates as a sum of options (Q1409834): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 04:16, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Pricing of Asian exchange rate options under stochastic interest rates as a sum of options |
scientific article |
Statements
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options (English)
0 references
22 October 2003
0 references
For fixed strike discretely sampled Asian options an approximate method of pricing is proposed. It is based on approximations of the value of Asian option by sums of Black-Scholes options. Pricing error bounds are derived. Results of simulations are presented.
0 references
forward risk adjusted measure
0 references
stochastic interest rates
0 references
Black-Scholes option
0 references
value of Asian option
0 references
pricing error bounds
0 references