One-state variable binomial models for European-/American-style geometric Asian options
DOI10.1088/1469-7688/3/4/305zbMATH Open1405.91606OpenAlexW3124351624MaRDI QIDQ4647271FDOQ4647271
Authors: Min Dai 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/305
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American-style geometric Asian optionsEuropean-style geometric Asian optionsvariable binomial models
Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- The value of an Asian option
- Title not available (Why is that?)
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Binomial valuation of lookback options
- Option pricing: A simplified approach
- Title not available (Why is that?)
- The Valuation of Path Dependent Contracts on the Average
- A Note on Average Rate Options with Discrete Sampling
- Analytical valuation of American-style Asian options
- ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
- A modified binomial tree method for currency lookback options
- Convergence of binomial tree method for American options
- Title not available (Why is that?)
Cited In (4)
- Geometric Asian options: valuation and calibration with stochastic volatility
- 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
- Efficient pricings for binomial Asian option under fuzzy environment
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