Modified Path Simulation Method for Valuation of Asian American Options

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：e1r2s3

【摘要】

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In this paper,we use a modified path simulation method for valuation of Asian American Options.This method is a modification of the path simulation model proposed by Tiley.We assume that the behavior

【作者】

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Lesmono Dharma Permana Ferry Jaya Chendra Erwinna

【机构】

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Universitas Katolik Parahyangan Parahyangan Catho

【出处】

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第八届工业与应用数学国际大会

【发表日期】

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2015年5期

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　　In this paper,we use a modified path simulation method for valuation of Asian American Options.This method is a modification of the path simulation model proposed by Tiley.We assume that the behavior of the log return of the underlying assets follows the Variance Gamma(VG)process,since its distribution is heavy tail and leptokurtic.

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Modified Path Simulation Method for Valuation of Asian American Options

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