Results 11 to 20 of about 1,425,256 (286)
Equity Asian Option Introduction
, 2023 An Asian option or average option is a special type of option contract where the payoff depends on the average price of the underlying asset over a certain period of time.
Alan
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On the equivalence of floating and fixed-strike Asian options [PDF]
, 2000 There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating and fixed-strike Asian options.
Henderson, V, Wojakowski, R M
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, 2022 An FX Asian option or Asian currency option is a special type of option contract where the payoff depends on the average of the underlying foreign exchange rate over a certain period of time.
David Lee
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Collateralised option pricing in a South African context: A Univariate GARCH approach
Cogent Economics & Finance, 2022 In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered.
Pierre J Venter +2 more
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Asian options and meromorphic Lévy processes [PDF]
Finance and Stochastics, 2014 18 pages, 1 ...
Daniel Hackmann, Alexey Kuznetsov 0001
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A Derivative Security Approach to Setting Crop Revenue Coverage Insurance Premiums
Journal of Agricultural and Resource Economics, 2000 The nature of indemnities and reliance on futures price averaging during two distinct time intervals throughout the production year imply Crop Revenue Coverage (CRC) insurance behaves like an exotic put option.
Jeffrey R. Stokes
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PENENTUAN HARGA OPSI BELI TIPE ASIA DENGAN METODE MONTE CARLO-CONTROL VARIATE
E-Jurnal Matematika, 2017 Option is a contract between the writer and the holder which entitles the holder to buy or sell an underlying asset at the maturity date for a specified price known as an exercise price.
NI NYOMAN AYU ARTANADI +2 more
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Mathematics, 2023 Financial derivatives have developed rapidly over the past few decades due to their risk-averse nature, with options being the preferred financial derivatives due to their flexible contractual mechanisms, particularly Asian options.
Lingling Xu, Hongjie Zhang, Fu Lee Wang
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Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus [PDF]
, 2011 We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which ...
Yang, Z. +8 more
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Transforming Arithmetic Asian Option PDE to the Parabolic Equation with Constant Coefficients
International Journal of Mathematics and Mathematical Sciences, 2011 Arithmetic Asian options are difficult to price and hedge, since at present, there is no closed-form analytical solution to price them. Transforming the PDE of the arithmetic the Asian option to a heat equation with constant coefficients is found to ...
Zieneb Ali Elshegmani +3 more
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