The Libraries will be performing routine maintenance on UWSpace on October 20th, 2025, from 10:00-10:30 pm ET. UWSpace will be unavailable during this time. Service should resume by 10:30 pm ET.
 

Pricing Asian Options by the Method of Moments Matching

Loading...
Thumbnail Image

Date

2015-06-16

Authors

Chan, Pak Keung

Advisor

Journal Title

Journal ISSN

Volume Title

Publisher

University of Waterloo

Abstract

This Master's Thesis explores the method of moments matching for pricing Asian options. In this thesis, the underlying asset is assumed to be non-dividend paying and its price process either follows the standard geometric Brownian motion or the more advanced Heston volatility model.

Description

Keywords

Asian Options, Moments Matching

LC Subject Headings

Citation