Journal of banking & finance, 2008-10, Vol.32 (10), p.2076-2088
2008
Details
- Autor(en) / Beteiligte
- Titel
- Pricing discretely monitored Asian options under Lévy processes
- Ist Teil von
- Journal of banking & finance, 2008-10, Vol.32 (10), p.2076-2088
- Ort / Verlag
- Amsterdam: Elsevier B.V
- Erscheinungsjahr
- 2008
- Link zum Volltext
- Quelle
- Alma/SFX Local Collection
- Beschreibungen/Notizen
- We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Lévy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Lévy-stable case. For arithmetic Asian options we solve the valuation problem by recursive integration and derive a recursive theoretical formula for the moments to check the accuracy of the results. We compare the implementation of our method to Monte Carlo simulation implemented with control variates and using different parametric Lévy processes. We also discuss model risk issues.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0378-4266eISSN: 1872-6372DOI: 10.1016/j.jbankfin.2007.12.027Titel-ID: cdi_proquest_miscellaneous_839132676
- Format
- –
- Schlagworte
- Arithmetic, Asian options, Asian options Discrete monitoring Quadrature Levy processes Stable processes Model risk, Comparative analysis, Discrete monitoring, Fourier transforms, Lévy processes, Model risk, Monitoring, Monte Carlo simulation, Option pricing, Options markets, Probability, Quadrature, Risk, Securities prices, Stable processes, Studies