An adjusted binomial model for pricing Asian options

Massimo Costabile (), Ivar Massabó () and Emilio Russo ()

Review of Quantitative Finance and Accounting, 2006, vol. 27, issue 3, 285-296

Abstract: We propose a model for pricing both European and American Asian options based on the arithmetic average of the underlying asset prices. Our approach relies on a binomial tree describing the underlying asset evolution. At each node of the tree we associate a set of representative averages chosen among all the effective averages realized at that node. Then, we use backward recursion and linear interpolation to compute the option price. Copyright Springer Science + Business Media, LLC 2006

Keywords: Asian options; Binomial algorithms; Discrete-time models (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11156-006-9432-9 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:27:y:2006:i:3:p:285-296

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-006-9432-9

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().