An Adjusted binomial model for pricing Asian options

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<rdf:Description>
<dc:creator>Costabile, Massimo</dc:creator>
<dc:creator>Massabó, Ivar</dc:creator>
<dc:creator>Russo, Emilio</dc:creator>
<dc:date>2006-11-01</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/61271.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática financiera</dc:subject>
<dc:subject xml:lang="es">Opciones</dc:subject>
<dc:subject xml:lang="es">Algoritmos</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Estadística financiera</dc:subject>
<dc:subject xml:lang="es">Productos financieros</dc:subject>
<dc:subject xml:lang="es">Asia</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">An Adjusted binomial model for pricing Asian options</dc:title>
<dc:relation xml:lang="es">En: Review of Quantitative Finance and Accounting. - Amsterdam [etc.] : Springer Netherlands. - Vol. 27, nº 3 november 2006 ; p. 285-296</dc:relation>
<dc:coverage xml:lang="es">Asia</dc:coverage>
</rdf:Description>
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