PRICING THE ASIAN OPTION UNDER VASIEK INTEREST RATE

2003 
This paper presents a theory of continuous sampled Asian option pricing when the interest rate is modeled by Vasicek model. For arithmetic Asian option, we subtract an explicit formula from the solution of the price and get a PDE satisfied by the residue with smooth coefficients and 0 initial condition. We adopt infinite difference scheme to calculate the solution numerically.
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    0
    References
    0
    Citations
    NaN
    KQI
    []
    Baidu
    map