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Callable Asian Option Valuation

descriptionPublicationkeyboard_double_arrow_right Report , Presentation , Other literature type 27 Feb 2023 English Publisher:Humanities Commons
Authors: Lee, David;

doi: 10.17613/at00-6763 , 10.17613/4knmj-b4g74 , 10.5281/zenodo.8271028 , 10.5281/zenodo.7682078 , 10.5281/zenodo.7682077

Callable Asian Option Valuation

Abstract

We present a new model named callable Asian options. Such options allow their underwriters to call the options back from investors at a specified time and with a specified amount prior to option maturities. A hybrid of Monte Carlo simulation and the closed form Michael Curran’s solution is employed in pricing.

https://ia904704.us.archive.org/11/items/creditRiskCalculator/creditRiskCalculator.pdf

Keywords

Callable Asian Option Valuation

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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