Centro de Documentacion de Fundación MAPFRE - An Adjusted binomial model for pricing Asian options

Notas: 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 priceRegistros relacionados: En: Review of Quantitative Finance and Accounting. - Amsterdam [etc.] : Springer Netherlands. - Vol. 27, nº 3 november 2006 ; p. 285-296Materia / lugar / evento: Matemática financiera Opciones Algoritmos Modelos matemáticos Estadística financiera Productos financieros Asia Otros autores: Massabó, Ivar
Russo, Emilio
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