Pricing Asian Options by the Method of Moments Matching
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Date
2015-06-16
Authors
Chan, Pak Keung
Advisor
Journal Title
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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