Publication | Closed Access
A Quick Algorithm for Pricing European Average Options
430
Citations
8
References
1991
Year
Mathematical ProgrammingEngineeringClosed-form SolutionForeign Exchange OptionFinancial MathematicsComputational FinanceAsset PricingStatisticsOption PricingBlack-scholes ModelQuantitative FinanceDerivative PricingFinanceFinancial EconomicsBusinessQuick AlgorithmMonte Carlo EstimatesFinancial EngineeringBlack-scholes Algorithm
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.
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