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

People Research Publications Teaching

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Numerical Pricing of Average Rate Options using Transformation Techniques

Bacelorarbeit Wirtschaftsmathematik

Supervision

• Prof. Dr. Matthias Ehrhardt

Description

Keywords

References:

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.