Pricing American Style Asian OptionsUsing Dynamic Programming
The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price.
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2010
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9880 |