Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis


Numerical Pricing of Average Rate Options using Transformation Techniques

Bacelorarbeit Wirtschaftsmathematik



In this thesis we



  1. Hua He, Akihiko Takahashi, A Variable Reduction Technique for Pricing Average-Rate Options, International Review of Finance.
  2. H. Geman, M. Yor, Bessel Processes, Asian Options, and Perpetuities, Mathematical Finance 4 (1993), 349-375.
  3. D. Heath, R. Jarrow, A. Morton, Bond Pricing and Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica 60 (1992), 77-105.
  4. A. Kemma, A. Vorst, A Pricing Method for Options Based on Average Asset Values, Journal of Banking and Finance 14 (1990), 113-130.
  5. N. Kunitomo ,A. Takahashi, Pricing Average Options, Japan Financial Review 14 (1992), 1-20.
  6. S. Turnbull, L. Wakerman, A Quick Algorithm for Pricing European Average Options, Journal of Financial and Quantitative Analysis 26 (1991), 377-389.
  7. T. Vorst, Analytic Boundaries and Approximations of the Prices and Hedging Ratios of Average Exchange Rate Options, Econometric Institute, Erasmus University Rotterdam, February 1990.

University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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