✦ LIBER ✦

A Fast, Accurate, and Simple Method for Pricing European-Asian and Saving-Asian Options

✍ Scribed by Ken’ichiro Ohta; Kunihiko Sadakane; Akiyoshi Shioura; Takeshi Tokuyama

Publisher: Springer
Year: 2005
Tongue: English
Weight: 236 KB
Volume: 42
Category: Article
ISSN: 0178-4617
DOI: 10.1007/s00453-004-1143-9

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Accurate closed-form approximation for p

Accurate closed-form approximation for pricing Asian and basket options

✍ Jinke Zhou; Xiaolu Wang 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 194 KB

## Abstract By approximating the distribution of the sum of correlated lognormals with some log‐extended‐skew‐normal distribution, we present closed‐form approximation formulae for pricing both Asian and basket options. Numerical comparison shows that our formulae provide both computational simplic

Validation of a very simple model for co

Validation of a very simple model for computing global solar radiation in the European, African, Asian and North American areas

✍ S. Coppolino 📂 Article 📅 1990 🏛 Elsevier Science ⚖ 293 KB

Applicability of a simple model for comp

Applicability of a simple model for computing diffuse solar radiation to locations of the European, African, Asian and North American areas

✍ S. Coppolino 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 289 KB

Convergence of a fitted finite volume me

Convergence of a fitted finite volume method for the penalized Black–Scholes equation governing European and American Option pricing

✍ Lutz Angermann; Song Wang 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 519 KB