ACCELERATED BINOMIAL MODEL FOR PRICING ASIAN OPTIONS
Asian option pricing developed by TS Klessen is learned as an improvement over the Hull-White binomial models. For comparison, it also discusses the model Costabile Massabo Russo. The difference of the three models is the selection of a representative average differences in nodes. Representative...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/69647 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Asian option pricing developed by TS Klessen is learned as an improvement over the
Hull-White binomial models. For comparison, it also discusses the model Costabile
Massabo Russo. The difference of the three models is the selection of a representative
average differences in nodes. Representative average is an average that can represent
the actual average stock price path Asian option. Having obtained the average
representative, with the backward recursion and linear interpolation, option pricing
European Asian and American type can be determined. In the accelerated binomial
models, Richardson extrapolation is done well against the option price at t = 0. It is
intended to be able to accelerate the convergence of the time step is sufficiently large.
The results obtained are then compared with the Monte Carlo method of variance
reduction techniques. |
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