A unified approach for the pricing of options relating to averages

被引：2

作者：

Funahashi, Hideharu ^{[1
]}

Kijima, Masaaki ^{[2
]}

机构：

[1] Mizuho Secur Co Ltd, Chiyoda Ku, Otemachi First Sq 1-5-1,Otemachi, Tokyo 1000004, Japan

[2] Tokyo Metropolitan Univ, Grad Sch Social Sci, 1-1 Minami Ohsawa, Tokyo 1920397, Japan

来源：

REVIEW OF DERIVATIVES RESEARCH | 2017年 / 20卷 / 03期

关键词：

Generalized Asian option; Floating strike; Fixed strike; Discretely sampled; Continuously sampled; Forward-starting; In-progress; Australian-Asian option; CHAOS EXPANSION APPROACH; ASIAN OPTIONS; FLOATING-STRIKE;

D O I：

10.1007/s11147-017-9128-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we consider generalized Asian options and propose a unified approximation method for the pricing of such options when the underlying process is a diffusion. Through numerical examples, we show that our approximation method is accurate enough to be used in practice for the pricing of any type of Asian options that has been treated separately in the literature. Comparisons are made with the existing methods in the literature to support the usefulness of our method.

引用

页码：203 / 229

页数：27

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