Published February 27, 2023
| Version v1
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Callable Asian Option Valuation
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Description
We present a new model named callable Asian options. Such options allow their underwriters to call the options back from investors at a specified time and with a specified amount prior to option maturities. A hybrid of Monte Carlo simulation and the closed form Michael Curran’s solution is employed in pricing.
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https://ia904704.us.archive.org/11/items/creditRiskCalculator/creditRiskCalculator.pdf
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CallableAsian.pdf
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