Pricing Asian Options
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 87 === With the rapid growth of economies, many financial institutions bring new financial commodities. These commodities have many different functions. Asian option is one such example. Asian option is used to reduce the sig...
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| Format: | Others |
| Language: | en_US |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18396547801208784531 |
| Summary: | 碩士 === 國立臺灣大學 === 資訊工程學研究所 === 87 === With the rapid growth of economies, many financial institutions
bring new financial commodities. These commodities have many
different functions. Asian option is one such example.
Asian option is used to reduce the significance of the closing
price at maturity of the option. It's payoff depends on the
average price of the underlying asset during the start day and the maturity. Pricing these options still have not absolute solutions, and most solutions are approximate.
This thesis tests the two popular methods of valuing Asian
options. We find either Hull-White or Levy's method of pricing
Asian options are not good. So we introduce an Asian option
put-call parity. Using the put-call parity we can get an Asian
call or a Asian put option value from the other immediately.
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