Pricing Arithmetic Average Reset Options With Control Variates
نویسندگان
چکیده
منابع مشابه
On pricing arithmetic average reset options with multiple reset dates in a lattice framework
We develop a straightforward algorithm to price arithmetic average reset options with multiple reset dates in a Cox et al. (CRR) (1979) [10] framework. The use of a lattice approach is due to its adaptability and flexibility in managing arithmetic average reset options, as already evidenced by Kim et al. (2003) [9]. Their model is based on the Hull and White (1993) [5] bucketing algorithm and u...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2002
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2002.319196