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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. |
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