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.
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 کاملAsian options and stochastic volatility
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 کاملUnified Pricing of Asian Options
A simple and numerically stable 2-term partial differential equation characterizing the price of any type of arithmetically averaged Asian option is given. The approach includes both continuously and discretely sampled options and it is easily extended to handle continuous or discrete dividend yields. In contrast to present methods, this approach does not require to implement jump conditions fo...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.428300