Pricing Exchange Rate-Linked Asian Options by the Reciprocal Gamma Distribution Method

碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === In recent years, there has been a lot of research on the pricing of Asian options. Examples include analytic approximation formulas and the binomial option pricing model. Milevsky and Posner (1998) give a closed-form analytic approximation expression for the val...

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Bibliographic Details
Main Authors: Chia-Lung Chen, 陳家隆
Other Authors: 呂育道
Format: Others
Published: 2008
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