Pricing Asian Options

• Main Authors: Min-Cheng Sun, 孫民承
• Other Authors: Yuh-Dauh Lyuu
• Format: Others
• Language: en_US
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/18396547801208784531

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.