Results 1 to 10 of about 119,179 (163)
Numerical Algorithm for Delta of Asian Option [PDF]
The Scientific World Journal, 2015 We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of Δ of Asian geometric option and use this analytical form as a control to numerically calculate Δ of Asian arithmetic option, which is known ...
Boxiang Zhang, Yang Yu, Weiguo Wang
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Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model [PDF]
Entropy, 2018 This paper is dedicated to the study of the geometric average Asian call option pricing under non-extensive statistical mechanics for a time-varying coefficient diffusion model.
Jixia Wang, Yameng Zhang
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The British Asian Option [PDF]
Sequential Analysis, 2010 Abstract Following the economic rationale of Peskir and Samee (2008a,b), we present a new class of Asian options where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a ...
Kristoffer Glover, Goran Peskir
exaly +3 more sources
Parallel computing in Asian option pricing
Parallel Computing, 2007 We discuss the use of parallel computing in Asian option pricing and evaluate the efficiency of various algorithms. We only focus on ''backward-starting fixed strike'' Asian options that are continuously averaged. We implement a partial differential equation (PDE) approach that involves a single state variable to price the Asian option, and implement ...
Halis Sak, Süleyman Özekici
exaly +3 more sources
PRICING ASIAN OPTIONS WITH CORRELATORS [PDF]
International Journal of Theoretical and Applied Finance, 2021 We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This requires the computation of moments and correlators of the underlying asset price which for a polynomial jump–diffusion process are given analytically; hence, no numerical simulation is required to evaluate the series. This allows to derive analytical
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CONDITIONAL ASIAN OPTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2015 Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain threshold.
RUNHUAN FENG, HANS W. VOLKMER
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Modeling of behavior of the option. The formulation of the problem [PDF]
Компьютерные исследования и моделирование, 2015 Object of research: The creation of algorithm for mass computations of options price for formation of a riskless portfolio. The method is based on the generalization of the Black-Scholes method.
A. V. Bogdanov +3 more
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Australian Asian Options [PDF]
, 2003 We study European options on the ratio of the stock price to its average and vice versa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce
Manuel Moreno Fuentes, Javier F. Navas
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Asian Option Pricing Based on the Standardized Logarithm of Geometric Average [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2015 An Asian option (or average value option) is a special type of option contract. Its payoff is determined by the average underlying price over some pre-set period of time. Asian option is hard to price analytically and numerically.
Abdolrahim Badamchizadeh, Narges Heydari
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PENENTUAN HARGA KONTRAK OPSI TIPE ASIA MENGGUNAKAN MODEL SIMULASI NORMAL INVERSE GAUSSIAN (NIG)
E-Jurnal Matematika, 2014 The aim to determine of the simulation results and to calculate the stock price of Asian Option with Normal Inverse Gaussian (NIG) method and Monte Carlo method using MATLAB program. Results of both models are compared and selected a fair price.
I PUTU OKA PARAMARTHA +2 more
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