Binomial lattice for pricing Asian options on yields
โ Scribed by Yang, De-sheng
- Book ID
- 107506094
- Publisher
- Chinese Electronic Periodical Services
- Year
- 2003
- Tongue
- English
- Weight
- 218 KB
- Volume
- 10
- Category
- Article
- ISSN
- 1005-9784
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
This article generalizes the seminal Cox-Ross- binomial option pricing model to all members of the class of transformed-binomial pricing processes. The investigation addresses issues related with asset pricing modeling, hedging strategies, and option pricing. Formulas are derived for (a) replicatin