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Pricing American Style Asian OptionsUsing Dynamic Programming

The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-9880
Date January 2010
CreatorsCalvo, Diego R., Musatov, Michail
PublisherMälardalens högskola, Akademin för utbildning, kultur och kommunikation, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/masterThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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