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Pricing arithmetic Asian options under the CEV process
(Universidad ESAN. ESAN EdicionesPE, 2010-12-30)
This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to ...
Pricing arithmetic Asian options under the CEV process
(Universidad ESAN. ESAN EdicionesPE, 2010-12-30)
This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to ...