The Vyncke et al. solution for pricing European-style arithmetic Asian options
Includes bibliographical references (leaves 29-31). === This paper investigates the European-style arithmetic Asian option pricing solution of Vyncke, Dhaene, and Goovaerts (2004) who apply the concept of comonotonicity to obtain upper and lower bounds for the true option price. A moment-matching fo...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2015
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| Online Access: | http://hdl.handle.net/11427/12379 |