Pricing Moving Average Exchange Option under Numerical and Analytical Approximation Approach
碩士 === 輔仁大學 === 金融研究所 === 96 === In this thesis, we construct an efficient and accurate model for pricing moving-average exchange option. Moving-average exchange option is an exotic option which combines exchange option with Asian option, its payoff is the distance between two asset’s moving-average...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2008
|
Online Access: | http://ndltd.ncl.edu.tw/handle/37533465502997780155 |