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A Refined Binomial Lattice for Pricing American Asian Options · Study

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ArticleA Refined Binomial Lattice for Pricing American Asian Options

Prasad Chalasani1999

Article1999

A Refined Binomial Lattice for Pricing American Asian Options

Prasad Chalasani · Somesh Jha · Feyzullah Egriboyun · Ashok Varikooty

31 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1993Dynamic Asset Pricing Theory.1990A pricing method for options based on average asset values 1995The value of an Asian option 1991A Quick Algorithm for Pricing European Average Options 1992Pricing European average rate currency options 2001On Some Exponential Functionals of Brownian Motion

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2000Analytical Valuation of American-Style Asian Optionsarticle · 8 shared references 2002A Dynamic Programming Procedure for Pricing American-Style Asian Optionsarticle · 8 shared references 2007Prices and sensitivities of Asian options: A surveyarticle · 7 shared references 2018Asian Option Pricing with Orthogonal Polynomialsarticle · 7 shared references 1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distributionarticle · 6 shared references 2004Spectral Expansions for Asian (Average Price) Optionsarticle · 5 shared references

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Year1999

Typearticle

Published1999-01-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1009622231124

openalex_workW1578340357

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