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Analytic Approaches to the Pricing Black-Scholes Equations of Asian Options

Asian option is an option which payoff depends on the average underlying price over some some specific time period. Although there is no closed form solution of asian option, appropriate change of variable and Num¡¦eraire would reduce some terms of equation satisfies the Asian call price function. This thesis presents asian option¡¦s properties and process of reduction terms.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0705112-115137
Date05 July 2012
CreatorsYu, Wei-Hau
ContributorsJen-Chih Yao, Ngai-Ching Wong, Hong-Kun Xu, Lai-Ji Lin
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0705112-115137
Rightsunrestricted, Copyright information available at source archive

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