This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A pricing method for options based on average asset values

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Kemna, A. G. Z.
Vorst, A. C. F.
Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6VCY-45F8YTF-3D/2/67ce808ccd3b9fa3441e5b809817a687
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 14 (1990)
Issue (Month): 1 (March)
Pages: 113-129
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:eee:jbfina:v:14:y:1990:i:1:p:113-129

Contact details of provider:
Web page: http://www.elsevier.com/locate/jbf

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords:

Other versions of this item:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Garry de Jager & Joseph Winsen, 1992. "Performance Differences Within the Market for Housing," Working Paper Series 19, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  2. James Unterschultz & Frank Novak, . "Flexible Pricing and Payment Alternatives on Canadian Wheat Board Pooling for Wheat," Staff Papers 9702, University of Alberta, Department of Rural Economics. [Downloadable!]
  3. Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre. [Downloadable!]
  4. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  5. Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995. [Downloadable!]
  6. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO. [Downloadable!]
  7. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics. [Downloadable!]
  8. Francisco Javier Fernandez, 2002. "Australian Asian Options," Working Papers Economia wp02-23, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
  9. Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany. [Downloadable!]
  10. E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics. [Downloadable!]
  11. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, EconWPA. [Downloadable!]
  12. Jiri Hoogland & Dimitri Neumann, 2001. "Tradable Schemes," Finance 0105003, EconWPA. [Downloadable!]
  13. J. David Cummins & Hèlyette Geman, 1993. "An Asian Option to the Valuation of Insurance Futures Contracts," Center for Financial Institutions Working Papers 94-03, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  14. Nielsen, J. Aase & Klaus Sandmann, 1995. "Equity-linked life insurance - a model with stochastic interest rates," Discussion Paper Serie B 291, University of Bonn, Germany, revised Mar 1995. [Downloadable!]
    Other versions:
  15. David N. Ford & Diane M. Lander & John J. Voyer, 2002. "A real options approach to valuing strategic flexibility in uncertain construction projects," Construction Management & Economics, Taylor and Francis Journals, vol. 20(4), pages 343-351, June. [Downloadable!] (restricted)
  16. Jin E. Zhang, 1999. "Arithmetic Asian Options with Continuous Sampling," Finance Working Papers 231, East Asian Bureau of Economic Research. [Downloadable!]
  17. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  18. Jiri Hoogland & Dimitri Neumann, 1999. "Scale invariance and contingent claim pricing II: Path-dependent contingent claims," Finance 9907003, EconWPA. [Downloadable!]
Statistics
Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2008-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.