On the asymptotic behavior of the prices of Asian options

被引：0
|
作者：
Hishida, Yuji [1 ]
Yasutomi, Kenji [2 ]
机构：
[1] Mizuho Secur Co Ltd, Fixed Income Trading Dept, Fixed Income Grp, Tokyo 1000004, Japan
[2] Ritsumeikan Univ, Dept Math Sci, 1-1-1 Nojihigashi, Kusatsu, Shiga 5258577, Japan
来源：
ASIA-PACIFIC FINANCIAL MARKETS | 2005年 / 12卷 / 04期
关键词：
Asian option; Asymptotic behavior;
D O I：
10.1007/s10690-006-9027-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study the price of a long term Asian option the pay-off of which is determined by the average price of the underlying asset during the last fixed number of days of its life. As one can imagine, it converges to the price of a plain vanilla option as the time to maturity increases. We explicitly obtained the asymptotic difference which will be useful for computing the price of Asian option in practice.
引用
收藏
页码：289 / 306
页数：18
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