지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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We present an improved binomial method for pricing Euro-pean- and American-type Asian options based on the arithmetic average of the prices of the underlying asset. At each node of the tree we propose a simple algorithm to choose the representative averages among all the effective averages. Then the backward valuation process and the interpolation are performed to compute the price of the option. The simulation results for European and American Asian options show that the proposed method gives much more accurate price than other recent lattice methods with less computational effort.
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참고문헌 (16)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / The Journal of Political Economy 81(3):637~654
M. Costabile / 2006 / An adjusted binomial model for pricing Asian options / Rev Quant Finan Acc 27:285~296
J. Cox / 1979 / Option pricing: A simpli ed approach / Journal of Financial Economics 7:229~263
M. Curran / 1992 / Beyond average intelligence / Risk 5(10):60
P. A. Forsyth / 2002 / Convergence of numerical methods for valuing path-dependent options using interpolation / Rev Derivatives Res 5:273~314
M. Costabile / 2006 / An adjusted binomial model for pricing Asian options / Rev Quant Finan Acc 27:285~296
J. Cox / 1979 / Option pricing: A simpli ed approach / Journal of Financial Economics 7:229~263
M. Curran / 1992 / Beyond average intelligence / Risk 5(10):60
P. A. Forsyth / 2002 / Convergence of numerical methods for valuing path-dependent options using interpolation / Rev Derivatives Res 5:273~314
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