40 search results - page 1 / 8 » Option Pricing for Weighted Average of Asset Prices |
APJOR
2011
12 years 11 months ago
2011
AMC
2007
13 years 11 months ago
2007
Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist...
Lecture Notes
These notes cover several topics such as Interest Rate Calculations, More Details on Bond Conventions, Bond Portfolios, Basic Option Pricing, The Binomial Option Pricing Model, The...
JAMDS
2000
13 years 10 months ago
2000
Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average o...
HPCS
2005
IEEE
14 years 4 months ago
2005
IEEE
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...