Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
نویسندگان
چکیده
منابع مشابه
Obstacle problem for Arithmetic Asian options
We prove existence, regularity and a Feynman–Kač representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average. To cite this article: L. Monti, A. Pascucci, C. R. Acad. Sci. Paris, Ser. I 347 (2009). © 2009 Académie des sciences. Published by Elsevier Masson SAS. All rights reserved...
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در این رساله به بررسی رفتار جواب های رده ای از معادلات دیفرانسیل با مشتقات جزیی در دامنه های کراندار می پردازیم . این معادلات به فرم نیم-خطی و غیر خطی برای مسایل مستقیم و معکوس مورد مطالعه قرار می گیرند . به ویژه، تاثیر شرایط مختلف فیزیکی را در مساله، نظیر وجود موانع و منابع، پراکندگی و چسبندگی در معادلات موج و گرما بررسی می کنیم و به دنبال شرایطی می گردیم که متضمن وجود سراسری یا عدم وجود سراسر...
Bounds for the price of discrete arithmetic Asian options
In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas, Dhaene and Goovaerts (2000), and additionally, the ideas of Roger...
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Asian options on a single asset under a jump-diffusion model can be priced by solving a partial integro-differential equation (PIDE). We consider the more challenging case of an option whose payoff depends on a large number (or even a continuum) of assets. Possible applications include options on a stock basket index and electricity contracts with a delivery period. Both of these can be modeled...
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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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ژورنال
عنوان ژورنال: European Journal of Applied Mathematics
سال: 2008
ISSN: 0956-7925,1469-4425
DOI: 10.1017/s095679250800750x