search query: @journal_id 1747 / total: 13
reference: 8 / 13
| Author: | Klassen, T. R. |
| Title: | Simple, fast, and flexible pricing of Asian options |
| Journal: | Journal of Computational Finance
2001 : SPRING, VOL. 4:3, p. 89-124 |
| Index terms: | OPTIONS OPTION PRICES OPTION VALUATION FINANCIAL FORECASTING |
| Language: | eng |
| Abstract: | A modified binomial method, that provides a simple and unified framework for the valuation of various kinds of Asian options, is described. This approach can achieve any desired level of accuracy for convection- or diffusion-dominated regimes and for long or short maturities. |
SCIMA