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Arithmetic Asian Options under Stochastic Delay Models

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  • Nairn McWilliams
  • Sotirios Sabanis
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    Abstract

    Motivated by the increasing interest in past-dependent asset pricing models, shown in recent years by market practitioners and prominent authors such as Hobson and Rogers (1998, Complete models with stochastic volatility, Mathematical Finance, 8(1), pp. 27--48), we explore option pricing techniques for arithmetic Asian options under a stochastic delay differential equation approach. We obtain explicit closed-form expressions for a number of lower and upper bounds and compare their accuracy numerically.

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    File URL: http://hdl.handle.net/10.1080/1350486X.2011.567119
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    Bibliographic Info

    Article provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.

    Volume (Year): 18 (2011)
    Issue (Month): 5 (February)
    Pages: 423-446

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    Handle: RePEc:taf:apmtfi:v:18:y:2011:i:5:p:423-446

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