A Note on Average Rate Options with Discrete Sampling
From MaRDI portal
Recommendations
Cited in
(15)- Approximate valuation of average options
- Average interest rate caps
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- Fourier transformation and the pricing of average-rate derivatives
- Valuation of bonds and options under floating interest rate
- ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
- Average options for jump diffusion models
- scientific article; zbMATH DE number 4041570 (Why is no real title available?)
- One-state variable binomial models for European-/American-style geometric Asian options
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Efficient pricing of discrete Asian options
- A moment expansion approach to option pricing
- An analytic formula for the price of an American-style Asian option of floating strike type
- Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
- An accurate binomial model for pricing American Asian option
This page was built for publication: A Note on Average Rate Options with Discrete Sampling
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4326887)