Asia

Asian basket spreads and other exotic averaging options

Giuseppe Castellacci and Michael Siclari of OpenLink introduce a class of exotic options that simultaneously generalises both Asian and basket options. They develop approximate analytic models for real-time pricing of complex instruments that average…

A question of priorities

Japan's banks are aware of the need to prepare for Basel II, but it is just one of a number of urgent issues that need to be resolved in the Japanese banking sector.

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