[PDF] Top 20 On the equivalence of floating and fixed strike Asian options

... the fixed-strike Asian has been the subject of much research over the last ten years and academic interest in these options has experienced a revival recently, see Carr and Schr¨ oder [6], ... See full document

... forward-start Asian options and discrete averaging by Vanmaele et ...to Asian options by VeWerˇ [15] for a Brownian motion model and VeWerˇ and Xu [16] for a special semi- martingale model, in ... See full document

... In this paper we show that it is sometimes possible to evaluate these integrals explicitly. First, we show that in case of a constant continuous annuity (7) the comonotonic upper bound approximation gives rise to ... See full document

... one. By solving a triangular set of partial differential equations, we prove that these moments take a simple explicit form, which can be practical. Those moments have indeed an important informational content, since ... See full document

... either fixed or flexible rates in the absence of the specification of a particular pattern of ...the Asian crisis and are of major concern to ...toward fixed exchange rates, as yet little work has ... See full document

... European fixed strike options with the prices from Cai et ...for floating strike options and the MLB for fixed strike options (see Table 1), with the Monte ... See full document

... European floating strike Asian call option Since the terminal payoff of the floating strike Asian call option involves S T and G T , pricing by the risk neutral expectation ... See full document

... price Asian options by a PDE ...both fixed-strike and floating-strike options, the spatial dimension can be reduced by one by utilizing some special ... See full document

... to Asian options when using a PDE with time independent ...the Asian option with two spatial dimensions, by using ratios of the option price over the stock ...either fixed or floating ... See full document

... an Asian option. However, the expected Asian option payoff depends on the expiry-date probability distribution of the ...an Asian option could be ... See full document

... with floating-point data types but they are usually implemented in embedded systems with fixed-point arithmetic to minimise cost and power ...the fixed-point specification are required to reduce the ... See full document

... The main lesson from the recent Eurozone sovereign debt crisis is that even within a single currency area, the yield curve is no longer unique. It is therefore no longer possible to assume that each single government ... See full document

... time. That result allowed us to derive analytical expressions for the relevant transforms 20 of option prices with respect to the strike price. Finally, us- ing the Fourier inversion method, we got to semi- ... See full document

... Hereto we used and combined different ideas and techniques such as firstly conditioning on some random variable as in Rogers and Shi (1995), secondly results based[r] ... See full document

... One way to mitigate this risk might be to contract for variable debt-service pay­ ments to align cash outflows with chang­ ing revenues. This financing strategy raises obvious questions about how closely payments on ... See full document

... is fixed or floating charge ...a fixed charge over stock in trade or raw materials is normally construed by the courts as being a floating ...a fixed charge would be to require that ... See full document

... an Asian option is usually described by introducing an additional stochastic process ...includes Asian equations of European and American style as particular cases, were proved in [ 23–26 ...of Asian ... See full document

... t Asian options, basket options and spread options have been extensively studied in the ...general Asian basket spread ...the Asian basket spread ...to options denominated ... See full document

... under floating exchange rates than under ...under floating is to nominal exchange rates and that these will adjust more rapidly than price levels which bear the brunt of the adjustment under fixed ... See full document

... a fixed rate loan, while the oldest group (60 and above) were likely to have only one type of loan but either fixed or ...a floating interest rate ...a floating interest rate option, or it may ... See full document