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 |
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