Pricing Asian Options by the Method of Moments Matching
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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.
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Pak Keung Chan (2015). Pricing Asian Options by the Method of Moments Matching. UWSpace. http://hdl.handle.net/10012/9437