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What is Pricing Arithmetic Average Rate Options about?

This paper presents a semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options, offering a new analytical approximate formula that is more accurate and faster than existing methods. The method utilizes a partial differential equation for correction, achieving a numerical error of about 10–7 and requiring minimal CPU time for computation. The results serve as a benchmark for evaluating other approximation methods, including Monte Carlo simulations.

Author

uj48wi9oymarcsqqnfw

Language

EN