Average Interest
收藏NBER1997-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w6045
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资源简介：
We develop analytic pricing models for options on averages by means of a state-space expansion method. These models augment the class of Asian options to markets where the underlying traded variable follows a mean-reverting process. The approach builds from the digital Asian option on the average
提供机构：
美国国家经济研究局
创建时间：
1997-05-01
