Pricing Asian options in a semimartingale model
AbstractIn this paper we studyy arithmetic Asian options when the underlying stock is driven by special semimartingale processes. We show that the inherently path dependent problem of pricing Asian options can be transformed into a problem without path dependence in the payoff function. We also show that the price is driven by a process with independent increments, Levy processes being a special case. This approach applies for both discretely or continuously options.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Quantitative Finance.
Volume (Year): 4 (2004)
Issue (Month): 2 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=111405
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- Eberlein, Ernst & Papapantoleon, Antonis, 2005. "Equivalence of floating and fixed strike Asian and lookback options," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 31-40, January.
- Angelos Dassios & Jayalaxshmi Nagaradjasarma, 2006. "The square-root process and Asian options," Quantitative Finance, Taylor and Francis Journals, vol. 6(4), pages 337-347.
- Alexander Novikov & Nino Kordzakhia, 2013. "On lower and upper bounds for Asian-type options: a unified approach," Papers 1309.2383, arXiv.org.
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