A Lattice Algorithm for Asian Options
碩士 === 靜宜大學 === 財務與計算數學系 === 102 === There is no simple closed formula for the price of Asian option. So the price must be calculated using numerical approximation. Here we choose the Cox-Ross-Rubinstein binomial model. However calculating the exact binomial price would take exponential time since e...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90036338583288891295 |