Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/94036| Title: | A Monte Carlo Method for Pricing Asian Options |
| Authors: | Bakoev, M. T. |
| Keywords: | ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика |
| Issue Date: | 2007 |
| Publisher: | Minsk: BSU |
| Abstract: | This paper presents an algorithm for pricing Asian options using Monte Carlo method. The method is based on a using the mean value property of the Kolmogorov equation.Numerical examples for Geometric average floating and fixed strike call options are provided to illustrate the method. |
| URI: | http://elib.bsu.by/handle/123456789/94036 |
| Appears in Collections: | Section 6. ECONOMETRIC ANALYSIS AND MODELING |
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