In this article, a semianalyticalmethod for pricing of barrier options is described and applied in the context of Asian options with geometric mean. The efficiency of the method is tested and compared with two finite difference methods.
Numerical pricing of geometric Asian options with barriers / Aimi, Alessandra; Diazzi, Lorenzo; Guardasoni, Chiara. - In: MATHEMATICAL METHODS IN THE APPLIED SCIENCES. - ISSN 0170-4214. - 41:(2018), pp. 7510-7529. [10.1002/mma.5179]
Numerical pricing of geometric Asian options with barriers
Alessandra Aimi;Chiara Guardasoni
2018-01-01
Abstract
In this article, a semianalyticalmethod for pricing of barrier options is described and applied in the context of Asian options with geometric mean. The efficiency of the method is tested and compared with two finite difference methods.File in questo prodotto:
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