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
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| Authors: | Kim, Bara ; Kim, Jeongsim ; Yoon, Hyungkuk ; Lee, Jinyoung |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 74.2024, Art.-No. 102239, p. 1-19
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| 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 |
| 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