Main category
Economics (Finance)
Abstract
A new model is presented for pricing callable Asian options. Such options allow their underwriters to call the options back from investors at a specified time and with a specified amount prior to option maturities. A hybrid of Monte Carlo simulation and the closed form Michael Curran’s solution is employed in pricing.
Further reading
https://ia902903.us.archive.org/31/items/callable-asian/CallableAsian.pdf
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