Open AccessThe European style arithmetic Asian option pricing with stochastic interest rate based on Black Scholes model
Author(s) -
Yuyun Guna Winarti,
Lienda Noviyanti,
Gatot Riwi Setyanto
Publication year - 2017
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.4979417
Subject(s) - asian option , black–scholes model , strike price , binary option , valuation of options , monte carlo methods for option pricing , moneyness , put option , call option , economics , volatility smile , implied volatility , financial economics , binomial options pricing model , finite difference methods for option pricing , dividend , trinomial tree , risk free interest rate , exotic option , stochastic volatility , volatility (finance) , capital asset pricing model , finance
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