Results 1 to 10 of about 149,257 (165)
Non-Gaussian Closed Form Solutions for Geometric Average Asian Options in the Framework of Non-Extensive Statistical Mechanics [PDF]
Entropy, 2018 In this paper we consider pricing problems of the geometric average Asian options under a non-Gaussian model, in which the underlying stock price is driven by a process based on non-extensive statistical mechanics. The model can describe the peak and fat
Pan Zhao, Benda Zhou, Jixia Wang
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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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Asian and Australian options: A common perspective
Journal of Economic Dynamics and Control, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian-Oliver Ewald +1 more
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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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Hedging strategy as a response to the United States-China rivalry: the case of Southeast Asia [PDF]
The Review of International Affairs, 2022 The Southeast Asian countries use a hedging strategy to respond accordingly to the risk that the great power rivalry between the United States and China presents in the region.
Pavle Nedić
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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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Barriers to telepsychiatry in the geriatric Asian American population during COVID-19
Journal of Ideas in Health, 2022 Due to the increase in anti-Asian discrimination during COVID-19, there has been a decline in mental health in the Asian community, particularly in the geriatric population.
Jami Wang +2 more
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A Quantum Algorithm for Pricing Asian Options on Valuation Trees
Risks, 2022 We develop a novel quantum algorithm for approximating the price of a discrete floating-strike Asian option based on an underlying valuation tree.
Mark-Oliver Wolf +2 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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