On the differential equations and asymptotic solutions for arithmetic asian-rate call options

On the differential equations and asymptotic solutions for arithmetic asian-rate call options

Asian options are securities whose payoff depends on the average of the underlying stock prices over a certain period of time. A variety of techniques have been developed to analyze arithmetic asian options.Dewynne and Shaw (2007) presented a way of pricing asian rate call options using partial diff...

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Bibliographic Details
Main Author: Labrador, Jinky J. (Author)
Other Authors: Escaner, JoseMaria L. (adviser.)
Format: Thesis
Language:English
Published: Quezon City Institute of Mathematics, College of Science, University of the Philippines Diliman 2013.
Subjects:
Differential equations > Asymptotic theory.