Pricing American Style Asian OptionsUsing Dynamic Programming

University essay from Akademin för utbildning, kultur och kommunikation

Author: Diego R. Calvo; Michail Musatov; [2010]

Keywords: American Options; Asian Options; Option pricing; Java Applet; American-Asian call options pricing;

Abstract: The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price.

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