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A Refined Binomial Lattice for Pricing American Asian Options

✍ Scribed by Prasad Chalasani; Somesh Jha; Feyzullah Egriboyun; Ashok Varikooty

Book ID
110277306
Publisher
Springer US
Year
1999
Tongue
English
Weight
143 KB
Volume
3
Category
Article
ISSN
1380-6645

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A different approach for pricing Asian o
A different approach for pricing Asian options
✍ D.I. Cruz-BΓ‘ez; J.M. GonzΓ‘lez-RodrΓ­guez πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 149 KB

In this work we analyze the value of an Asian arithmetic option with an approach different from that used by Geman and Yor with Bessel processes in 1993. We obtain the same solution of the valuation problem, without using any previous results based on Bessel processes; by means of partial differenti