Asian Option Pricing with R/Rmetrics

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Portfolio Optimization with R/Rmetrics

 

 

Diethelm Würtz
Rmetrics eBooks 2010
Rmetrics Association & Finance Online Publishing, Zurich
68 Pages, 11 Figures
ISBN: 978-3-906041-06-3

 

About the Book:

This is a book about exponential Brownian motion and pricing Asian options. The main emphasis is to briefly introduce the concepts and to give the reader a set of powerful tools to compute option prices by exact pricing formulas. This book divides roughly into 10 chapters: Introduction, moment matched distributions, statistical series expansion, moments of exponential Brownian motion, evaluation of the Asian density, bounds on option prices, partial differential equation approach, Laplace inversion, spectral expansion, symmetry relations.

 

Table of Contents: Download

Preface

  1 Introduction
  2 Moment Matched Distributions
  3 Statistical Series Expansions Download
  4 Moments of Exponential BM
  5 Evaluation of Asian Density
  6 Bounds on Option Prices
  7 Partia Differential Equations
  8 Laplace Inversion Download
  9 Spectral Expansion
10 Symmetry Relations

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