Scholarlink

We introduce a recursive method for pricing arithmetic average Asian options. The method employs the backward recursion algorithm to estimate the risk-neutral probability density function.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Recursive Methods for Pricing of Asian Options

  • 章节

  • 发表日期：

    2026年

查看全文
  • Geon Ho Choe

摘要

We introduce a recursive method for pricing arithmetic average Asian options. The method employs the backward recursion algorithm to estimate the risk-neutral probability density function.