One-state variable binomial models for European-/American-style geometric Asian options
From MaRDI portal
(Redirected from Publication:4647271)
Recommendations
- An improved binomial method for pricing Asian options
- An accurate binomial model for pricing American Asian option
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- General lattice methods for arithmetic Asian options
- A refined binomial lattice for pricing American Asian options
Cites work
- A modified binomial tree method for currency lookback options
- A Note on Average Rate Options with Discrete Sampling
- Analytical valuation of American-style Asian options
- ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
- Binomial valuation of lookback options
- Convergence of binomial tree method for American options
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- scientific article; zbMATH DE number 1512729 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- Option pricing: A simplified approach
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- The Valuation of Path Dependent Contracts on the Average
- The value of an Asian option
Cited in
(4)- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- An improved binomial method for pricing Asian options
- Geometric Asian options: valuation and calibration with stochastic volatility
- Efficient pricings for binomial Asian option under fuzzy environment
This page was built for publication: One-state variable binomial models for European-/American-style geometric Asian options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4647271)
