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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2003

Kód důvěrnosti údajů

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

Název statě ve sborníku

New trends of the development of industry

ISBN

80-214-21548-0

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

1-8

Název nakladatele

VUT Brno

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

26. 11. 2003

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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