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A pricing method for options based on average asset values

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Author Info
Kemna, A. G. Z.
Vorst, A. C. F.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-45F8YTF-3D/2/67ce808ccd3b9fa3441e5b809817a687
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 14 (1990)
Issue (Month): 1 (March)
Pages: 113-129
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Handle: RePEc:eee:jbfina:v:14:y:1990:i:1:p:113-129

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  1. 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!]
  2. 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!]
  3. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO. [Downloadable!]
  4. 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!]
  5. E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics. [Downloadable!]
  6. Jiri Hoogland & Dimitri Neumann, 2001. "Tradable Schemes," Finance 0105003, EconWPA. [Downloadable!]
  7. 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!]
  8. 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:
  9. 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)
  10. Jin E. Zhang, 1999. "Arithmetic Asian Options with Continuous Sampling," Finance Working Papers 231, East Asian Bureau of Economic Research. [Downloadable!]
  11. Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei, 2008. "Adaptive placement method on pricing arithmetic average options," Review of Derivatives Research, Springer, vol. 11(1), pages 83-118, March. [Downloadable!] (restricted)
  12. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Jiri Hoogland & Dimitri Neumann, 1999. "Scale invariance and contingent claim pricing II: Path-dependent contingent claims," Finance 9907003, EconWPA. [Downloadable!]
  14. 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!]
  15. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  16. 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!]
  17. Shao, Renyuan & Roe, Brian, 2002. "The Design And Pricing Of Fixed And Moving Window Contracts: An Application Of Asian-Basket Option Pricing Methods To The Hog Finishing Sector," 2002 Annual meeting, July 28-31, Long Beach, CA 19823, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  18. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, EconWPA. [Downloadable!]
  19. Nengjiu Ju & Rui Zhong, 2006. "Fourier transformation and the pricing of average-rate derivatives," Review of Derivatives Research, Springer, vol. 9(3), pages 187-212, November. [Downloadable!] (restricted)
  20. Plato, Gerald E. & Skully, David W. & Johnsons, D. Demcey, 2007. "Valuing Counter-Cyclical Payments: Implications For Producer Risk Management And Program Administration," Economic Research Report 7184, United States Department of Agriculture, Economic Research Service. [Downloadable!]
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