Asian options
Variance Reduction with Control Variate for Pricing Asian Options in a Geometric L´evy Model
... of Asian options is a delicate and interesting topic in quantitative finance, and has been a topic of attention for many years ...now. Asian options are commonly traded: they were introduced ...
10
Delta-gamma-theta Hedging of Crude Oil Asian Options
... Investment to crude oil futures would bring profi t 6.19% during observed period (average return was 0.0217% with riskiness 1.0377%). In case of Asian call option the outcome will be loss 78.67% of initial value ...
7
Pricing Discretely Monitored Asian Options by Maturity Randomization
... We consider now the pricing of Asian options. Tables 4 to 10 report the main results of this analysis. In particular, Table 4 reports the prices for …xed-strike geometric-average Asian ...
35
An improved convolution algorithm for discretely sampled Asian options
... Abstract. We suggest an improved FFT pricing algorithm for dis- cretely sampled Asian options with general independently distributed re- turns in the underlying. Our work complements the studies of ...
20
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
... for Asian options due to a number of appealing ...of Asian options in the CEV diffusion model, which requires special treatment due to its distinct distributional ...strike Asian ...
38
Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later
... makes Asian options a cheaper, yet more reliable alternative to their vanilla counterparts for financial risk ...these options a cost-effective hedging in- strument, especially in market environments ...
33
The distribution of the average of log normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed form Formula
... Abstract: We introduce a simple, exact and closed-form formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula. In doing so, we show that ...
10
Pricing discretely monitored Asian options under Levy processes
... for Asian options monitored at discrete ...(geometric) Asian option depends on the arithmetic (geometric) average value of the underlying asset price over a given time ...period. Asian ...
35
Free boundary and optimal stopping problems for American Asian options
... of Asian options with early exercise (for instance, Barraquand and Pudet [2], Barles [1], Hansen and Jorgensen [14], Meyer [27], Wu, You and Kwok [33], Fu and Wu [13], Jiang and Dai[20], Ben-Ameur, Breton ...
21
A Class of Control Variates for Pricing Asian Options under Stochastic Volatility Models
... Kemma and Vorst [12] studied the valuation of arithmetic average Asian options by using the counterpart geometric average Asian options as control variates. This is one of the most successful ...
9
High Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options
... The pricing of moving window Asian option with an early exercise feature is considered a challenging problem in op- tion pricing. The computational challenge lies in the unknown optimal exercise strategy and in ...
14
On the equivalence of floating and fixed strike Asian options
... In contrast to the above, our results for Asian options relate two different types of arithmetic Asians, a floating-strike call (or put) and a fixed-strike put (or call) option. This is interesting, since ...
8
Windings of Planar Processes and Applications to the Pricing of Asian Options
... where W = Z, V or U. Moreover, we will study the asymptotic behavior of each winding process. The rest of this paper is organized as follows: In Section 2 we discuss windings and the associated version of Spitzer’s ...
14
Hedging of Asian options under exponential Lévy models: computation and performance
... in-the-money options; both hedging strategies perform poorly for out-of-the-money options, and this is particularly evident for the delta hedge of the out-of-the-money option in the low volatility case (top ...
43
Asian options with jumps: A closed form formula
... put options written on the arithmetic average of security prices driven by jump diffu- sion processes displaying (possibly pe- riodical) trend, time varying volatility, and mean ...Monitored Asian-Style ...
11
Pricing discretely monitored Asian options under Levy processes
... Permanent repository link: http://openaccess.city.ac.uk/15222/ Link to published version: http://dx.doi.org/10.1016/j.jbankfin.2007.12.027 Copyright and reuse: City Research Online aims [r] ...
6
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 the ...
346
Evaluation of Geometric Asian Power Options under Fractional Brownian Motion
... 1987, Asian options were first introduced at a branch of an American bank in Tokyo, ...an Asian option, its payoff is determined by the average value over some predetermined time ...property, ...
9
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 ...
10
Variance analysis of control variate technique and applications in Asian option pricing
... of options: the call option and the put ...of options are European and American ...American options give to buyer or seller the right to buy or sell at any time prior to or at ...of options ...
7