Asian option
Pricing And Hedging of Asian Option Under Jumps
... price Asian options in such setting, [12] presents gener- alized Laplace transform for continuously sampled Asian op- tion where underlying asset is driven by a L´evy Process, [29] proposes a binomial tree ...
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Reduction error in Asian option pricing based on partition Monte Carlo method
... expressions. The base experimental units are random numbers. The expressions may be definite integrals, systems of equations and financial engineering. In problems of moderate dimensions, quasi-Monte Carlo method usually ...
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Variance analysis of control variate technique and applications in Asian option pricing
... gives option buyer this right to buy or sell the underlying asset in agreed price at a later ...call option and the put option. Call option gives the buyer this right to buy the underlying ...
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The Asian Option Pricing when Discrete Dividends Follow a Markov Modulated Model
... in option pricing has been very popular since the appearance of the pioneering work by Cox, et ...pricing Asian option was proposed by Hull and White [13] in ...the Asian option pricing ...
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The Mellin Transform Method as an Alternative Analytic Solution for the Valuation of Geometric Asian Option
... for Asian option to the partial differential equation in two variables instead three and then, they used numerical procedure to solve ...for Asian options by computing the expectation based on some ...
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Transforming Arithmetic Asian Option PDE to the Parabolic Equation with Constant Coefficients
... the Asian options most recently, Geman and Yor 2 have used Laplace transform in time of the Asian option ...valuing Asian options to the problem of solving a parabolic equation in two ...
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Numerical analysis and multi precision computational methods applied to the extant problems of Asian option pricing and simulating stable distributions and unit root densities
... defines Asian options in more detail and states the basic problem of Asian option pricing we consider (in the Black-Scholes ...to Asian option pricing both methods that already exist in ...
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An Adjusted Trinomial Lattice for Pricing Arithmetic Average Based Asian Option
... The option prices calculated are actually indirectly proportional to the value of ...the option is directly proportional to the number of time steps used in the ...
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A Kernel Density Estimation-Based Approach To Option Pricing
... in option pricing, a classical Monte Carlo method fails to deliver highly accurate results even when variance reduction techniques are ...arithmetic Asian option and the achieved results were ...
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Approximation for Convenience Yield with Mean Reverting Commodity Price
... The option-based approaches introduced by Heaney (2002) [4] and Hochradl and Rammerstorfer (2012) [5] as- sume that the price of both the spot price and futures price follow a geometric Brownian ...mean ...
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Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later
... arithmetic-average Asian option price, the use of the geometric-average Asian option price can be used as an effective control ...geometric-average Asian option price’s ...
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On the equivalence of floating and fixed strike Asian options
... These tricks become very useful for exotic options, when perhaps no closed form solution exists, but an equivalence relation holds, together with an accurate compu- tational procedure for the related class. This is of ...
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Singular Perturbations on Non-Smooth Boundary Problems in Finance
... Asian options are known as path dependent options whose payoff depends on the average stock price and a fixed or floating strike price during a specific period of time before maturity. There has been an enormous ...
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Delta-gamma-theta Hedging of Crude Oil Asian Options
... that Asian option with fi xed strike price can be hedged successfully using the fi rst and second derivation of the option ...that Asian options are as good for gamma based strategies as ...
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Equivalent Martingale Measure in Asian Geometric Average Option Pricing
... Asian option, also known as the average price of options, was one of the derivatives of the stock options, and was firstly introduced by the American Bankers Trust Company (Bankers Trust) in Tokyo, Japan, ...
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Accurate linear and nonlinear seismic ssi analysis based on ANSYS FE modeling extending SASSI methodology
... The R/B complex Option AA-A SSI case study is shown in Figures 5 through 9. The SSI analysis inputs were defined by the RG1.60 seismic spectrum anchored at 0.30g and stiff soil conditions. For the SSI analysis ...
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The British Binary Option
... the option at T in the European case or at the optimal stopping time τ in the American ...the option when out-of-money and makes the option expire ...the option market varies with the term of ...
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Generalized Option Betas
... the option beta of [1] based on the [2] pricing model properly reflects the risks in- herent in ...pected option returns under very general ...that option returns appear to be other than theo- ...
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Essays in option pricing
... Each batch of information, however, is an imperfect signal which reflects the true market reaction with probability 9 6 1/2,1.^ In this set-up, the number of signals indicating a positiv[r] ...
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Is democracy an option for the realist?
... Set aside the fact that Achen and Bartels themselves put forward several re- forms like these toward the end of their book, as we have seen. Our concern now is with the following question: if we take seriously the ...
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