An Adjusted binomial model for pricing Asian options
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 i 4500 | ||
| 001 | MAP20071509388 | ||
| 003 | MAP | ||
| 005 | 20180831141024.0 | ||
| 008 | 080402e20061101usa|||| | |00010|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a937.412 | ||
| 100 | 1 | $0MAPA20080215699$aCostabile, Massimo | |
| 245 | 1 | 0 | $aAn Adjusted binomial model for pricing Asian options$cMassimo Costabile, Ivar Massabó, Emilio Russo |
| 520 | 8 | $aThe authors propose a model for princing both European and American Asian options based on the arithmetic average of the underlying asset prices. Your aproach relies on a binomia tree describing the underlying asset evolution. At each node of the tree they associate a set of representative averages chosen among all the effective averages realized at that node. Then, they use backward recursion and linear interpolation to compute the option price | |
| 650 | 1 | $0MAPA20080602444$aMatemática financiera | |
| 650 | 1 | $0MAPA20080548445$aOpciones | |
| 650 | 1 | $0MAPA20080553128$aAlgoritmos | |
| 650 | 1 | 1 | $0MAPA20080592042$aModelos matemáticos |
| 650 | 1 | 1 | $0MAPA20080606060$aEstadística financiera |
| 650 | 1 | $0MAPA20080603182$aProductos financieros | |
| 651 | 1 | $0MAPA20080643744$aAsia | |
| 700 | 1 | $0MAPA20080077396$aMassabó, Ivar | |
| 700 | 1 | $0MAPA20080083458$aRusso, Emilio | |
| 773 | 0 | $dAmsterdam [etc.] : Springer Netherlands$gVol. 27, nº 3 november 2006 ; p. 285-296$tReview of Quantitative Finance and Accounting |