A Numerical Approach for Pricing Arithmetic Asian Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 91 === In this thesis, we demonstrate a method to construct an efficient and accurate reduced model for the Asian option. The Karhunen-Loève decomposition and Galerkin method are used to build the reduced model. The traditional methods for pricing Asian opti...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2003
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/37380343081263103230 |