Pricing Asian options in a semimartingale model
نویسندگان
چکیده
منابع مشابه
Pricing 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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Path-dependent options are options whose payoff depends nontrivially on the price history of an asset. They play an important role in financial markets. Unfortunately, pricing path-dependent options could be difficult in terms of speed and/or accuracy. The Asian option is one of the most prominent examples. The Asian option is an option whose payoff depends on the arithmetic average price of th...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2004
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680400000021