A QUICK ALGORITHM FOR PRICING EUROPEAN AVERAGE OPTIONS

被引：187

作者：

TURNBULL, SM ^{[1
]}

WAKEMAN, LM ^{[1
]}

机构：

[1] MTK GLOBAL CAPITAL INC,NEW YORK,NY 10027

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1991年 / 26卷 / 03期

关键词：

D O I：

10.2307/2331213

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

An algorithm is described that prices European average options. The algorithm is tested against Monte Carlo estimates and is shown to be accurate. The speed of the algorithm is comparable to the Black-Scholes algorithm. A closed-form solution is derived for European geometric average options. © 1991, School of Business Administration, University of Washington. All rights reserved.

引用

页码：377 / 389

页数：13

共 9 条

[1]

BOYLE PP, 1976, J RISK INSUR, V43, P694

[2]

BOYLE PP, 1982, OPTIONS GENERAL MEAN

[3] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].