An Adjusted binomial model for pricing Asian options

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<title>An Adjusted binomial model for pricing Asian options</title>
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<namePart>Costabile, Massimo</namePart>
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<namePart>Massabó, Ivar</namePart>
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<namePart>Russo, Emilio</namePart>
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<dateIssued encoding="marc">2006</dateIssued>
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<abstract>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</abstract>
<note type="statement of responsibility">Massimo Costabile, Ivar Massabó, Emilio Russo</note>
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<topic>Matemática financiera</topic>
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<topic>Opciones</topic>
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<topic>Algoritmos</topic>
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<topic>Modelos matemáticos</topic>
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<topic>Estadística financiera</topic>
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<topic>Productos financieros</topic>
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<geographic>Asia</geographic>
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<title>Review of Quantitative Finance and Accounting</title>
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<publisher>Amsterdam [etc.] : Springer Netherlands</publisher>
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<text>Vol. 27, nº 3 november 2006 ; p. 285-296</text>
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