The Pricing of Forward-starting Asian Options and its Application
碩士 === 國立臺灣大學 === 財務金融學系 === 85 === Asian options whose payoff depends not only possibly on the priceat expirationof the underlying asset, but also on the average price experienced by the underlying asset during some portion of the option''s lif...
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1997
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ndltd-TW-085NTU003040102016-07-01T04:15:36Z http://ndltd.ncl.edu.tw/handle/26276863605236012227 The Pricing of Forward-starting Asian Options and its Application 遠期開始亞洲選擇權之訂價及其應用 Hsiao, Kuo-Tung 蕭國棟 碩士 國立臺灣大學 財務金融學系 85 Asian options whose payoff depends not only possibly on the priceat expirationof the underlying asset, but also on the average price experienced by the underlying asset during some portion of the option''s life. In some cases, the underlying asset price of the option is an average; in others, the strike price itself is computed as an average of the underlying asset recent prices. Wheninvestors face a price risk, Asian options provide a cheaper way to ameliorate anypossible price or rate distortions. By reexamining the pricing model for forward- starting Asian options developed by Bouaziz et al. (1994), this thesis finds their modelcontaining a non-trivial error. This thesis then derives thecorrect formulation and extends the methodology to the pricing of forward-startingaverage rate currency options. We also conduct simulation analysis to highlightthe significance of the error and investigate how factors will affect the options. Hwang Dar-yeh 黃達業 1997 學位論文 ; thesis 52 zh-TW |
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NDLTD |
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zh-TW |
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Others
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description |
碩士 === 國立臺灣大學 === 財務金融學系 === 85 === Asian options whose payoff depends not only possibly on the
priceat expirationof the underlying asset, but also on the
average price experienced by the underlying asset during some
portion of the option''s life. In some cases, the underlying
asset price of the option is an average; in others, the strike
price itself is computed as an average of the underlying asset
recent prices. Wheninvestors face a price risk, Asian options
provide a cheaper way to ameliorate anypossible price or rate
distortions. By reexamining the pricing model for forward-
starting Asian options developed by Bouaziz et al. (1994), this
thesis finds their modelcontaining a non-trivial error. This
thesis then derives thecorrect formulation and extends the
methodology to the pricing of forward-startingaverage rate
currency options. We also conduct simulation analysis to
highlightthe significance of the error and investigate how
factors will affect the options.
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author2 |
Hwang Dar-yeh |
author_facet |
Hwang Dar-yeh Hsiao, Kuo-Tung 蕭國棟 |
author |
Hsiao, Kuo-Tung 蕭國棟 |
spellingShingle |
Hsiao, Kuo-Tung 蕭國棟 The Pricing of Forward-starting Asian Options and its Application |
author_sort |
Hsiao, Kuo-Tung |
title |
The Pricing of Forward-starting Asian Options and its Application |
title_short |
The Pricing of Forward-starting Asian Options and its Application |
title_full |
The Pricing of Forward-starting Asian Options and its Application |
title_fullStr |
The Pricing of Forward-starting Asian Options and its Application |
title_full_unstemmed |
The Pricing of Forward-starting Asian Options and its Application |
title_sort |
pricing of forward-starting asian options and its application |
publishDate |
1997 |
url |
http://ndltd.ncl.edu.tw/handle/26276863605236012227 |
work_keys_str_mv |
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