Asian Basket Option Pricing by a Simple Binomial Tree
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 102 === Asian basket option is hard to price. This thesis presents a new approach to price European-style and American-style Asian basket options. First, we use approximation and moment-matching techniques to find the random variable following the shifted lognormal dis...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67745251312481612529 |