ARITHMETIC AVERAGE ASIAN OPTIONS WITH STOCHASTIC ELASTICITY OF VARIANCE
نویسندگان
چکیده
منابع مشابه
On the Valuation of Arithmetic-average Asian Options: Integral Representations
This paper has its origin in that developement in the analysis of Asian options initiated by [Y]. Yor’s valuation formula gives clear evidence that pricing Asian options is a problem of some intrinsic difficulty indeed for which no, in the strict sense, simple solution should be expected. Instead, one should, as a first step, ask for structurally clear solutions, and only then, as a second step...
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In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced in [D] to computing the negative moments of Yor’s accumulation processes for which functional recursion rules are given. Stressing the role of Theta functions, this paper now solves these recursion rules and expresses these negative moments as linear combinations of certain Theta integrals. U...
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The Laplace transform approach of [GY] is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a nancial perspective. In this paper, we discuss two observations regarding the nancial relevance of its results. First, we show that the [GY] Laplace transform is not that of an Asian option price, as reported in [GY] and other papers. We nonetheles...
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Arithmetic Asian or average price options deliver payoffs based on the average underlying price over a prespecified time period. Asian options are an important family of derivative contracts with a wide variety of applications in currency, equity, interest rate, commodity, energy, and insurance markets. We derive two analytical formulas for the value of the continuously sampled arithmetic Asian...
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ژورنال
عنوان ژورنال: Journal of the Korea Society for Industrial and Applied Mathematics
سال: 2016
ISSN: 1226-9433
DOI: 10.12941/jksiam.2016.20.123