Efficient pricings for binomial Asian option under fuzzy environment
Asian options are important path-dependent derivatives. The aim of this paper is to compare two binomial Asian option pricings. First, we introduce the binomial Asian option pricing. Next, we present some useful concepts and properties about Chen-Lyuu pricing formula. Here, we give a brief overview...
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| Main Authors: | , |
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| Format: | Article |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://eprints.utm.my/id/eprint/46906/ |
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| Institution: | Universiti Teknologi Malaysia |