Pricing Asian Options by the Method of Moments Matching
MetadataShow full item record
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.
Cite this version of the work
Pak Keung Chan (2015). Pricing Asian Options by the Method of Moments Matching. UWSpace. http://hdl.handle.net/10012/9437