Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options
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References listed on IDEAS
- Allen Abrahamson, 2003. "A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion," Finance 0305004, EconWPA, revised 17 May 2003.
- Vicky Henderson & David Hobson & William Shaw & Rafal Wojakowski, 2003. "Bounds for Floating-Strike Asian Options using Symmetry," OFRC Working Papers Series 2003mf04, Oxford Financial Research Centre.
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KeywordsBinomial Lattices; Wiener Processes; Option Valuation Methods;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-29 (All new papers)
- NEP-CFN-2003-05-29 (Corporate Finance)
- NEP-RMG-2003-05-29 (Risk Management)
- NEP-SEA-2003-05-29 (South East Asia)
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