Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model-Reference-Cited by-同舟云学术

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Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model

Published:2024-09 Issue: Volume:74 Page:102239
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Kim Bara,Kim Jeongsim,Yoon Hyungkuk,Lee Jinyoung

Funder

Ministry of Education

National Research Foundation of Korea

Publisher

Elsevier BV

Reference34 articles.

1. Arbitrage theory in continuous time;Björk,2009

2. Prices and sensitivities of Asian options: A survey;Boyle;Insurance: Mathematics & Economics,2008

3. Estimating security price derivatives using simulation;Broadie;Management Science,1996

4. A general framework for pricing Asian options under Markov processes;Cai;Operations Research,2015

5. An efficient and stable method for short maturity Asian options;Chatterjee;The Journal of Futures Markets,2018

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