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Options with combined Asian and barrier features

Authors Wong, Him Ting
Issue Date 2000
Summary By using Girsanov theorem and introducing of new variables, the price of discrete monitoring Asian barrier option of different types can be expressed by a single formula. The price of continuous averaging Asian option can be found by taking suitable limit on it. Numerically, we could use binomial tree model to get the price value of different kinds of Asian barrier options. The key to get accurate result is to place the barrier in suitable position in the tree, otherwise the result will be affected significantly.
Note Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2000
Language English
Format Thesis
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