Pricing American Asian options with higher moments in the underlying distribution
نویسندگان
چکیده
منابع مشابه
Pricing European Asian Options with Skewness and Kurtosis in the Underlying Distribution
Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing Asian options from the Edgeworth binomial model is smaller than the error bound model by Chalasani et al. is ...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2009
ISSN: 0377-0427
DOI: 10.1016/j.cam.2008.01.012