Why to use Asian options and how to price them with discrete paths

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007691" target="_blank" >RIV/61989100:27510/03:00007691 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Why to use Asian options and how to price them with discrete paths

Original language description

There is a lot of option referred to as path dependent, such as lookback options based on most favourable price, barrier options depending on some prespecified barrier or even Asian options. In this case the final pay-off depends on the path of the underlying price in some way. The big problem arises if the path is observable only in finite set of days. If the continuous solution of pricing problem is used to obtain the value of the option, the error (and possible loss) can be huge. In this paper we present some results given by numerical methods, in particular Monte Carlo simulation and Lattice model, used to price a special type of path-dependent option - an Asian call, whose pay-off is based on floating exercise price. The exercise price is computedas an arithmetic average of underlying asset prices.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

New trends of the development of industry

ISBN

80-214-21548-0

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

1-8

Publisher name

VUT Brno

Place of publication

Brno

Event location

Brno

Event date

Nov 26, 2003

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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