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Analytical Valuation of American-Style Asian Options
SSRN Electronic Journal, 1998This article derives the first analytical pricing formulas for American-style Asian options of the so-called floating strike type. Geometric as well as arithmetic averaging is considered. The setup is a standard Black-Scholes framework where the price of the underlying security evolves according to a geometric Brownian motion.
Hansen, Asbjørn T. +1 more
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AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
International Journal of Theoretical and Applied Finance, 2002We propose a new method for evaluating fixed strike Asian options using moments. In particular we show that the density of the logarithm of the arithmetic average is uniquely determined from its moments. Resorting to the maximum entropy density, we show that the first four moments are sufficient to recover with great accuracy the true density of the ...
Tagliani, Aldo, FUSAI G.
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Valuation of American commodity options
2023In this dissertation, we present analytical option pricing formulas for European and American options in which the price dynamics of a risky asset follows a meanreverting process with time-dependent parameter. The process can be adapted to describe both nonseasonal and seasonal variation in price, especially, in commodity markets such as agricultural ...
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The valuation of compound options
Journal of Financial Economics, 1979This paper presents a theory for pricing options on options, or compound options. The method can be generalized to value many corporate liabilities. The compound call option formula derived herein considers a call option on stock which is itself an option on the assets of the firm.
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Valuation of Multidimensional Bermudan Options
2009Multi-dimensional option pricing becomes an important topic in financial markets (Franke et al., 2008). Among which, the American-type derivative (e.g. the Bermudan option) pricing is a challenging problem. Unlike the European options which can only be exercised on the expiration date, the owner of a Bermudan option has the right to exercise early on a
Shih-Feng Huang, Meihui Guo
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VALUATION OF EVENT‐CONTINGENT OPTIONS
Journal of Financial Research, 2006AbstractI study a new class of investment options, event‐contingent options. These are options to invest and divest in projects that are dependent on other projects of the same firm or that are conditioned by projects of other firms in its value chain.
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Binomial valuation of lookback options
Journal of Economic Dynamics and Control, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Valuation of Stock Options
The Journal of Financial and Quantitative Analysis, 1967There is little question that stock options have value, but there is considerable question as to how stock options should be valued. Persons studying the valuation question and writing in business periodicals have tied the value of the stock option to the expected or the actual appreciation in the value of the stock.
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The Valuation of American Put Options
The Journal of Finance, 1977Brennan, Michael J, Schwartz, Eduardo S
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