Asian and Australian options: A common perspective
نویسندگان
چکیده
منابع مشابه
Australian Options
We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce very similar results.
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In modern asset price models, stochastic volatility plays a crucial role in order to explain several stylized facts of returns. Recently, [3] introduced a class of stochastic volatility models (so called BNS SV model) based on superposition of Ornstein-Uhlenbeck processes driven by subordinators. The BNS SV model forms a flexible class, where one can easily explain heavy-tails and skewness in r...
متن کاملConditional Asian Options
Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain threshold. Due to the limited inclusion of prices, conditional Asian options f...
متن کاملCondition Asian Options
Conditional Asian options are recent market innovations, which offer cheaper and longdated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain threshold. Due to the limited inclusion of prices, conditional Asian options fu...
متن کاملPricing Asian Options in a Semimartingale Model∗
Abstract. In this article we study arithmetic Asian options when the underlying stock is driven by special semimartingale processes. We show that the inherently path dependent problem of pricing Asian options can be transformed into a problem without path dependency in the payoff function. We also show that the price satisfies a simpler integro-differential equation in the case the stock price ...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2013
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2013.01.006