Pricing of Asian exchange rate options under stochastic interest rates as a sum of options (Q1409834)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of Asian exchange rate options under stochastic interest rates as a sum of options |
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Pricing of Asian exchange rate options under stochastic interest rates as a sum of options (English)
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22 October 2003
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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.
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forward risk adjusted measure
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stochastic interest rates
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Black-Scholes option
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value of Asian option
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pricing error bounds
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