Pricing of Asian exchange rate options under stochastic interest rates as a sum of options

DOI10.1007/S007800100063zbMath1026.60052OpenAlexW3122141863MaRDI QIDQ1409834

Klaus Sandmann, Jørgen Aase Nielsen

Publication date: 22 October 2003

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800100063

zbMATH Keywords

stochastic interest ratesforward risk adjusted measureBlack-Scholes optionpricing error boundsvalue of Asian option

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Martingales with continuous parameter (60G44)

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