ASIAN OPTION PRICING USING SINGULAR POINTS METHOD
Asian option pricing introduced by Gaudenzi et al. is binomial model called singular points method. As a comparison, it is using binomial Hull-White model which is different in selection of the representative average. Singular points method provides a continuous representation of the option price as...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/24529 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
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