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An Adjusted binomial model for pricing Asian options
Recurso electrónico / electronic resource
MAP20071509388
Costabile, Massimo ‌
An Adjusted binomial model for pricing Asian options / Massimo Costabile, Ivar Massabó, Emilio Russo
The 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
En: Review of Quantitative Finance and Accounting. - Amsterdam [etc.] : Springer Netherlands. - Vol. 27, nº 3 november 2006 ; p. 285-296
1. Matemática financiera ‌. 2. Opciones ‌. 3. Algoritmos ‌. 4. Modelos matemáticos ‌. 5. Estadística financiera ‌. 6. Productos financieros ‌. 7. Asia ‌. I. Massabó, Ivar ‌. II. Russo, Emilio ‌. III. Título.