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Details for article 97 of 159 found articles
| Title: |
Pricing Geometric Asian Options under the CEV Process |
| Author: |
Peng, Bin |
| Appeared in: |
International economic journal |
| Paging: | Volume 20 (2006) nr. 4 pages 515-522 |
| Year: |
2006-12 |
| Contents: |
This paper discusses the pricing of geometric 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 price geometric Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of geometric Asian options when the stock price follows the CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in the CEV process. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 97 of 159 found articles
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