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https://ptsldigital.ukm.my/jspui/handle/123456789/464386| Title: | Analytic Approximation formulae for picing foward-starting Asean options |
| Authors: | Chang, Chuang Chang Tsao, Chueh Yung Lin, Chung Gee |
| Conference Name: | The thirteenth Annual PACAP/FMA Finance Conference |
| Keywords: | Analytic approximination formulac Forward-starting Asean options Hedge rations |
| Conference Date: | 2001-07-05 |
| Conference Location: | Westin Chosun Hotel, Seoul, Korea Radisson Plaza Hotel, Seoul, Korea |
| Abstract: | In this paper we first identify a missing in the pricing formula developed by Bonaziz.Bries and Crouhy (1994). We derive the correct one illustrate that the missing term in their pricing formula could induce large pricing errors, or unreasonable option prices, in certain cases. |
| Pages: | 15 |
| Call Number: | HG4026.A536 2001 katsem |
| Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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