Pricing Asian Options by the Method of Moments Matching
| dc.contributor.author | Chan, Pak Keung | |
| dc.date.accessioned | 2015-06-16T17:28:29Z | |
| dc.date.available | 2015-06-16T17:28:29Z | |
| dc.date.issued | 2015-06-16 | |
| dc.date.submitted | 2015 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/10012/9437 | |
| dc.language.iso | en | en |
| dc.pending | false | |
| dc.publisher | University of Waterloo | en |
| dc.subject | Asian Options | en |
| dc.subject | Moments Matching | en |
| dc.subject.program | Quantitative Finance | en |
| dc.title | Pricing Asian Options by the Method of Moments Matching | en |
| dc.type | Master Thesis | en |
| uws-etd.degree | Master of Quantitative Finance | en |
| uws-etd.degree.department | Quantitative Finance | en |
| uws.peerReviewStatus | Unreviewed | en |
| uws.scholarLevel | Graduate | en |
| uws.typeOfResource | Text | en |