The pricing of Asian options under stochastic interest rates

Applied Mathematical Finance

Volumn 3, Issue 3, 1996, Pages 209-236

  Nielsen, J A ^a   Sandmann, K ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF BONN   (Germany)

Author keywords

Asian options; forward risk adjusted measure; Monte Carlo simulation

Indexed keywords

EID: 0041111792     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504869600000011     Document Type: Article

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