New method for pricing Asian options could revolutionize stock trading strategies!
The article discusses how to price Asian options, a type of derivative security used to reduce risks in stock investments. The researchers modified the Black-Scholes model to account for stochastic interest rates, which are not constant in reality. They focused on pricing arithmetic Asian options without dividends using the Curran approximation. By analyzing Telkom stock data, they found that this modified model can be used as an option trading strategy.