Asymptotic behavior of prices of path dependent options
AbstractIn this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain vanillas. We give some examples whose underlying assets behave as some popular Levy processes. Moreover, we give some payoffs and functions used to approximate them.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0911.5579.
Date of creation: Nov 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-05 (All new papers)
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- Yuji Hishida & Kenji Yasutomi, 2005. "On the asymptotic behavior of the prices of Asian options," Asia-Pacific Financial Markets, Springer, vol. 12(4), pages 289-306, December.
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