Asbjorn T. Hansen

Dresdner Kleinwort Benson

20 Fenchurch Street

London EC3P 3DB

United Kingdom

Aarhus University

Dept. of Operations Research

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.
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Citation 2

Analytical Valuation of American-Style Asian Options

Number of pages: 36 Posted: 15 May 1998
Peter Løchte Jørgensen and Asbjorn T. Hansen
University of Aarhus - Business and Social Sciences and Dresdner Kleinwort Benson
Downloads 865 (35,566)
Citation 2

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Analytical Valuation of American-Style Asian Options

Management Science, Vol. 46, No. 8, 1116-1136, 2000
Posted: 22 Dec 2012
Asbjorn T. Hansen and Peter Løchte Jørgensen
Dresdner Kleinwort Benson and University of Aarhus - Business and Social Sciences

Abstract:

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Asian Options, American Options, Analytical Valuation Formulas, Numerical Work, Change of Numeraire

Exact Analytical Valuation of Bonds When Spot Interest Rates are Log-Normal

Number of pages: 19 Posted: 21 Aug 1998
Asbjorn T. Hansen and Peter Løchte Jørgensen
Dresdner Kleinwort Benson and University of Aarhus - Business and Social Sciences
Downloads 521 (69,481)

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Fast and Accurate Approximation of Bond Prices When Short Rates are Log-Normal

Journal of Computational Finance, Vol. 3, No. 3, pp. 27-45, 2000
Posted: 21 Dec 2012
Asbjorn T. Hansen and Peter Løchte Jørgensen
Dresdner Kleinwort Benson and University of Aarhus - Business and Social Sciences

Abstract:

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3.

A Simple Regime Switching Term Structure Model

Posted: 29 Jan 2001
Asbjorn T. Hansen and Rolf Poulsen
Dresdner Kleinwort Benson and University of Copenhagen - Department of Statistics and Operations Research

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Regime switching, term structure of interest rates, numerical methods, option pricing