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SSRN Electronic Journal, 2009
AbstractWe discuss the problem of pricing Asian options in the Black–Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and discuss code design and memory usage. We show that by using a Quasi Monte Carlo simulation with a geometric Asian option as a control variate, it is possible to get prices ...
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AbstractWe discuss the problem of pricing Asian options in the Black–Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and discuss code design and memory usage. We show that by using a Quasi Monte Carlo simulation with a geometric Asian option as a control variate, it is possible to get prices ...
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SSRN Electronic Journal, 2013
We derive a closed-form formula for the fair value of call and put options written on the arithmetic average of security prices driven by jump diffusion processes displaying (possibly periodical) trend, time varying volatility, and mean reversion.
MARENA, Marina, A. Roncoroni, G. Fusai
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We derive a closed-form formula for the fair value of call and put options written on the arithmetic average of security prices driven by jump diffusion processes displaying (possibly periodical) trend, time varying volatility, and mean reversion.
MARENA, Marina, A. Roncoroni, G. Fusai
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The Hedging Strategy of an Asian Option
2002Summary: By a Generalized Clark Formula, this paper provides a hedging strategy for the Asian option calculated with geometric averaging. The hedging strategy is uncomplicated and easy to operate.
Yang, Zhaojun, Zou, Jiezhong
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2021
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. The payoff is different from the case of a European option or American option, where the payoff of the option contract depends on the price of the underlying stock at exercise date.
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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. The payoff is different from the case of a European option or American option, where the payoff of the option contract depends on the price of the underlying stock at exercise date.
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Journal of Applied Probability, 1995
This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.
Rogers, L. C. G., Shi, Z.
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This paper approaches the problem of computing the price of an Asian option in two different ways. Firstly, exploiting a scaling property, we reduce the problem to the problem of solving a parabolic PDE in two variables. Secondly, we provide a lower bound which is so accurate that it is essentially the true price.
Rogers, L. C. G., Shi, Z.
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Statistics & Probability Letters, 2006
The authors consider a Black-Scholes type model of geometric Brownian motion with a jump at a random time, which appears in incomplete financial markets. They obtain a formula for the price of an Asian option at a random exponential maturity, so that the fixed maturity option price can be numerically computed by inverting the Laplace transform.
Chou, Ching-Sung, Lin, Hsien-Jen
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The authors consider a Black-Scholes type model of geometric Brownian motion with a jump at a random time, which appears in incomplete financial markets. They obtain a formula for the price of an Asian option at a random exponential maturity, so that the fixed maturity option price can be numerically computed by inverting the Laplace transform.
Chou, Ching-Sung, Lin, Hsien-Jen
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2021
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 exchange rates over a certain period of time. The payoff is different from the case of a European option or American option, where the payoff of the option contract depends on the underlying FX rate at exercise date.
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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 exchange rates over a certain period of time. The payoff is different from the case of a European option or American option, where the payoff of the option contract depends on the underlying FX rate at exercise date.
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Efficient solutions for discrete Asian options
Soft Computing, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chueh-Yung Tsao, Chi-Tsung Huang
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Asian Options versus Vanilla Options
SSRN Electronic Journal, 2007While it is commonly believed that an Asian option is always cheaper than its plain vanilla European counterpart, this paper shows that this notion is false. By deriving the lower bounds on Asian option prices as volatility goes to zero and comparing them to the lower bounds of vanilla European option prices, it can be proved that this notion may be ...
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On Suboptimality of Delta Hedging for Asian Options
SIAM Journal on Financial Mathematics, 2015Summary: In the paper we use Asian options in the Black-Scholes framework to demonstrate that discrete-time hedging based on the standard delta is significantly less efficient than some of the optimal hedging strategies when the hedging interval decreases to zero.
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