An Improved Curran Method

9 Pages Posted: 24 Mar 2021 Last revised: 31 Mar 2021

See all articles by Dimitri Offengenden

Dimitri Offengenden

Strategist

Roberto Caccia

University of Colorado at Boulder - Leeds School of Business

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

Offengenden, Dimitri and Caccia, Roberto, An Improved Curran Method (March 1, 2021). Available at SSRN: https://ssrn.com/abstract=3810999

Dimitri Offengenden

Strategist ( email )

United States

Roberto Caccia (Contact Author)

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO CO 80301
United States
2677023780 (Phone)
80301 (Fax)

HOME PAGE: http://https://www.linkedin.com/in/roberto-caccia/

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