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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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/06026530684687649522 |