Analytic approximation formulae for pricing forward-starting Asian options
Article Abstract:
New analytic approximation formulae were derived for valuing forward-starting Asian options by adding the second-order term in the Taylor series. The formulae can value forward-starting Asian options with a large underlying asset's volatility or a longer time window for the average of the underlying asset prices.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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Distributions implied by American currency futures options: a ghost's smile?
Article Abstract:
Risk-neutral distributions are attractive for market, academic and central bank economists, as it summarizes much of the available information associated with market prices. For estimating risk-neutral distribution, threefold results are presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Richardson extrapolation techniques for the pricing of American-style options
Article Abstract:
The utility of Richardson extrapolation techniques to evaluate derivatives on the American options exchanges is discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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