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

页码：355 / 370

页数：15

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