Pricing of Asian exchange rate options under stochastic interest rates as a sum of options

被引：0
|
作者：
J. Aase Nielsen
Klaus Sandmann
机构：
[1] Department of Operations Research,
[2] University of Aarhus,undefined
[3] Bldg. 530,undefined
[4] Ny Munkegade,undefined
[5] DK-8000 Aarhus C,undefined
[6] Denmark (email: atsjan@imf.au.dk) ,undefined
[7] Department of Banking,undefined
[8] University of Mainz,undefined
[9] Jakob-Welder-Weg 9,undefined
[10] D-55128 Mainz,undefined
[11] Germany (email: sandmann@forex.bwl.uni-mainz.de) ,undefined
来源：
Finance and Stochastics | 2002年 / 6卷
关键词：
Key words: Asian exchange rate option, forward risk adjusted measure, stochastic interest rates.; JEL Classification: G13; Mathematics Subject Classification (1991): 60G44, 65C05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The aim of the paper is to develop pricing formulas for long term European type Asian options written on the exchange rate in a two currency economy. The exchange rate as well as the foreign and domestic zero coupon bond prices are assumed to follow geometric Brownian motions.
引用
收藏
页码：355 / 370
页数：15
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