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
相关论文
共 50 条
  • [31] The economics of time as it is embedded in the prices of options
    Madan, Dilip B.
    Wang, King
    QUANTITATIVE FINANCE, 2021,
  • [32] Asian options versus vanilla options: a boundary analysis
    Ye, George L.
    JOURNAL OF RISK FINANCE, 2008, 9 (02) : 188 - 199
  • [33] Bounds for Asian basket options
    Deelstra, Griselda
    Diallo, Ibrahima
    Vanmaele, Michele
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2008, 218 (02) : 215 - 228
  • [34] PRICING ASIAN OPTIONS WITH CORRELATORS
    Lavagnini, Silvia
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2021, 24 (08)
  • [35] Accurate approximations for Asian options
    Aingworth, D
    Motwani, R
    Oldham, JD
    PROCEEDINGS OF THE ELEVENTH ANNUAL ACM-SIAM SYMPOSIUM ON DISCRETE ALGORITHMS, 2000, : 891 - 900
  • [36] Lenzing mulls Asian options
    Chemical Market Reporter, 2004, 265 (17):
  • [37] Pricing of rainbow Asian options
    Peng, Bin
    Peng, Fei
    Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2009, 29 (11): : 76 - 82
  • [38] Pricing bounds on Asian options
    Nielsen, JA
    Sandmann, K
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2003, 38 (02) : 449 - 473
  • [39] Asian options on the harmonic average
    Vecer, Jan
    QUANTITATIVE FINANCE, 2014, 14 (08) : 1315 - 1322
  • [40] The Behavior of Prices
    Viner, Jacob
    QUARTERLY JOURNAL OF ECONOMICS, 1929, 43 (02): : 337 - 352
12345