Pricing American and Asian Options
Pricing of Securities
2015-08-25 v2
Abstract
An analytic method for pricing American call options is provided; followed by an empirical method for pricing Asian call options. The methodology is the pricing theory presented in "A Modern Theory of Random Variation", by Patrick Muldowney, 2012.
Keywords
Cite
@article{arxiv.1507.05055,
title = {Pricing American and Asian Options},
author = {Pat Muldowney},
journal= {arXiv preprint arXiv:1507.05055},
year = {2015}
}
Comments
21 pages, 10 figures, https://sites.google.com/site/stieltjescomplete/home/finance