Spectral Expansions for Asian (Average Price) Options
نویسندگان
چکیده
منابع مشابه
Spectral Expansions for Asian (Average Price) Options
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...
متن کاملBounds 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...
متن کاملOn 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...
متن کاملExact retrospective Monte Carlo computation of arithmetic average Asian options
Taking advantage of the recent literature on exact simulation algorithms (Beskos et al. [1]) and unbiased estimation of the expectation of certain functional integrals (Wagner [23], Beskos et al. [2] and Fearnhead et al. [6]), we apply an exact simulation based technique for pricing continuous arithmetic average Asian options in the Black & Scholes framework. Unlike existing Monte Carlo methods...
متن کاملExact Pricing of Asian Options: An Application of Spectral Theory
Arithmetic Asian or average price (rate) options deliver payoffs based on the average underlying price over a pre-speciÞed 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 formulae for the price of the arithmetic Asian option when t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Operations Research
سال: 2004
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1040.0113