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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0705112-115137 |
| Date | 05 July 2012 |
| Creators | Yu, Wei-Hau |
| Contributors | Jen-Chih Yao, Ngai-Ching Wong, Hong-Kun Xu, Lai-Ji Lin |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0705112-115137 |
| Rights | unrestricted, Copyright information available at source archive |
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