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You are here: Home :: Keyword index :: α-Is bis atr :: arthroplasty - asphyxia neonatorum Asian option

Items for "Asian option"

Arithmetic average options in the hyperbolic model

In this paper, we present a strategy for pricing discrete Asian options, i.e. for options whose payoff depends on the average price of the underlying asset where the average is extended over a fixed period up to the maturity date...

Keywords: Asian option, hyperbolic distribution, Quasi-Monte Carlo methods, Esscher transform

09/2003 | Monte Carlo Methods and Applications, Walter de Gruyter
Functional quantization for numerics with an application to option pricing

We investigate in this paper the numerical performances of quadratic functional quantization with some applications to Finance...

Keywords: Functional quantization, Product quantizers, Romberg extrapolation, Karhunen-Love expansion, Brownian motion, SDE, Asian option, stochastic volatility, Heston model

12/2005 | Monte Carlo Methods and Applications, Walter de Gruyter