Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: International Journal of Financial Markets and Derivatives 1 (2010) 3, pp. 258-273
We develop a pricing algorithm for US-style period-average reset options written on an underlying asset which evolves in a Cox-Ross-Rubinstein (CRR) framework. The averaging feature of such an option on the reset period makes the price valuation problem computationally unfeasible because the...