The Closed–Form Approach to the Valuation and Greeks of Discrete Asian Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 97 === There are two types of discrete Asian options, fixed-strike and floating-strike. We focus on the fixed-strike type because the floating-strike type can be calculated through the symmetric property. To derive the closed-form solution to the option price and Greek...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66614964760464795894 |