The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options
نویسندگان
چکیده
منابع مشابه
Unified 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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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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We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. We show that each of the element in this sequence is the unique classical solutions of a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast n...
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We construct a sequence of functions that uniformly converge (on compact sets) to the price of an Asian option, which is written on a stock whose dynamics follow a jump diffusion. The convergence is exponentially fast. We show that each element in this sequence is the unique classical solution of a parabolic partial differential equation (not an integro-differential equation). As a result we ob...
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Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist for these popular options, how to price them numerically in an efficient and accurate manner has been extensively investigated. There are two types of Asian options, fixed-strike and floating-strike Asian options. Excel...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2011
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1316796924