Pricing Asian Options on Lattices
Date Issued
2003-12
Date
2003-12
Author(s)
Dai, Tian-Shyr
DOI
20060927122844914928
Abstract
Path-dependent options are options whose payoff depends nontrivially on the price history of an asset. They play an important role in financial markets. Unfortunately, pricing path-dependent options could be difficult in terms of speed and/or accuracy.The Asian option is one of the most prominent examples.
Publisher
臺北市:國立臺灣大學資訊工程學系
Type
report
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Name
thesis_d88006.pdf
Size
842.02 KB
Format
Adobe PDF
Checksum
(MD5):8247f176dc198da70410d2a250b0f683
