An improved convolution algorithm for discretely sampled Asian options
نویسندگان
چکیده
منابع مشابه
The pricing of discretely sampled Asian and lookback options: a change of numeraire approach
This paper considers the pricing of discretely sampled Asian and lookback options with ̄oating and ®xed strikes. In the modelling framework of Black and Scholes (1973), it is shown that a change of numeraire of the martingale measure can be used to reduce the dimension of these path-dependent option pricing problems to one in addition time. This means that the pricing problems can be solved by n...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2011
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680903397667