Australian Options
نویسندگان
چکیده
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.
منابع مشابه
A Bayesian model decision support system: dryland salinity management application
Addressing environmental management problems at catchment scales requires an integrated modelling approach, in which key bio-physical and socio-economic drivers, processes and impacts are all considered. Development of Decision Support Systems (DSSs) for environmental management is rapidly progressing. This paper describes the integration of physical, ecological, and socio-economic components i...
متن کاملObesity prevention advocacy in Australia: an analysis of policy impact on autonomy.
OBJECTIVE To explore obesity policy options recommended by stakeholders and identify their impact on individual autotomy. METHODS Qualitative and quantitative methods were used. A content analysis of submissions to the Australian Government's Inquiry into Obesity was conducted. Each recommendation was categorised by its impact on autonomy, according to existing frameworks. Chi-square test for...
متن کاملPricing Installment Options with an Application to ASX Installment Warrants
Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by paying the installment). We develop a dynamic programming procedure to price installment options. We derive the range of installments within which the installment option is not redundant with the European contract. Simulations analysis show...
متن کاملYoung people in aged care: progress of the current national program.
OBJECTIVE The aim of this paper is to examine the progress and effect of the current 5-year $244 million National Young People in Residential Aged Care program on the reduction of young people in aged care. METHOD Semi-structured telephone interviews with 20 service providers, 10 advocacy organisations and 6 public servants across Australia actively involved in the implementation of the progr...
متن کاملGreenhouse Gas Emissions Trading: Allocation of Permits
Foreword The Australian Greenhouse Office commissioned The Allen Consulting Group to consult with industry and other stakeholders and provide independent advice on permit allocation options under a possible national emissions trading system. This report represents The Allen Consulting Group's findings. The Australian Greenhouse Office is releasing this report in the interest of informing and pr...
متن کامل