Pricing of discretely sampled arithmetic Asian options, under the Hull-White interest rate model
Bara Kim, Jeongsim Kim, Hyungkuk Yoon, Jinyoung Lee
| Year of publication: |
2024
|
|---|---|
| Authors: | Kim, Bara ; Kim, Jeongsim ; Yoon, Hyungkuk ; Lee, Jinyoung |
| Subject: | Arithmetic Asian options | Hull-White model | Forward measure | Moment-matching method | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Black-Scholes-Modell | Black-Scholes model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102239 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015135005