Download This PaperAn Improved Curran Method
9 Pages Posted: 24 Mar 2021 Last revised: 31 Mar 2021
Date Written: March 1, 2021
Abstract
This article presents an methodology for pricing average rate options that is an improvement of the the Curran method. The methodology defines two proxies for the pricing that are a substantially tighter upper and lower bounds for the true price of the option, and then takes the average of the two. The calculation introduces only marginal computational cost in addition to what the Curran methodology already requires.
Keywords: Curran, Average Rate, Options
Suggested Citation: Suggested Citation
Offengenden, Dimitri and Caccia, Roberto, An Improved Curran Method (March 1, 2021). Available at SSRN: https://ssrn.com/abstract=3810999
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