Essays about: "American-Asian call options pricing"

Found 1 essay containing the words American-Asian call options pricing.

  1. 1. 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. .. READ MORE