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Hull, J.C. and White, A.D. (1993) Efficient Procedures for Valuing European and American Path-Dependent Options. The Journal of Derivatives, 1, 21-31.
https://doi.org/10.3905/jod.1993.407869

has been cited by the following article:

• TITLE: The Asian Option Pricing when Discrete Dividends Follow a Markov-Modulated Model

  AUTHORS: Yingyi Fang, Huisheng Shu, Xiu Kan, Xin Zhang, Zhiwei Zheng

  KEYWORDS: Arithmetic Average Asian Call Option, Discrete Dividends, Geometric Brownian Motion, Markov-Modulated Volatility, Binomial Tree

  JOURNAL NAME: Open Journal of Statistics, Vol.7 No.6, December 29, 2017

  ABSTRACT: This paper is concerned with the pricing problem of the discrete arithmetic average Asian call option while the discrete dividends follow geometric Brownian motion. The volatility of the dividends model depends on the Markov-Modulated process. The binomial tree method, in which a more accurate factor has been used, is applied to solve the corresponding pricing problem. Finally, a numerical example with simulations is presented to demonstrate the effectiveness of the proposed method.