An Asian option is a path-dependent option whose payoff depends on the average of the underlying asset price over a certain time interval. It can be European or American. The time interval can be the entire interval of the option's life from the initiation to the expiration, or beginning from some time later than the initiation until the option's expiration. The average can be arithmetic or geometric.
This paper derives a closed-form solution for the valuation of European Geometric average fixed strike
Asian call option and a closed-form solution for the valuation of a forward-starting Asian call option with arithmetic average floating strike.
The valuation formula is obtained by relying upon a slight linear approximation. And the valuation formula of Asian call option with arithmetic average floating strike we have derived is different from that of L. Bouaziz, E. Briys and M. Crouhy (1994). We believe that our argument here is correct, and theirs is wrong.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0712112-130828 |
| Date | 12 July 2012 |
| Creators | Chang, Szu-Ying |
| Contributors | Hong-Kun Xu, Lai-Jiu Lin, Ngai-Ching Wong, Jen-Chih Yao |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0712112-130828 |
| Rights | unrestricted, Copyright information available at source archive |
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