IDEAS home Printed from https://ideas.repec.org/a/bpj/mcmeap/v9y2003i3p227-239n4.html
   My bibliography  Save this article

Arithmetic average options in the hyperbolic model

Author

Listed:
  • Larcher Gerhard

    (Department of Financial Mathematics, Johannes Kepler University, Linz, Altenbergerstr. 69, 4040 Linz, Austria.)

  • Predota Martin
  • Tichy Robert F.

    (Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at)

Abstract

In this paper, we present a strategy for pricing discrete Asian options, i.e. for options whose payoff depends on the average price of the underlying asset where the average is extended over a fixed period up to the maturity date. Following a recent development in Mathematical Finance (cf. Eberlein, E., Keller, U. and Prause, K. (1998) New insights into smile, mispricing and value at risk: the hyperbolic model, Journal of Business, 71, 371–405), we assume that the log returns of the asset are hyperbolically distributed.

Suggested Citation

  • Larcher Gerhard & Predota Martin & Tichy Robert F., 2003. "Arithmetic average options in the hyperbolic model," Monte Carlo Methods and Applications, De Gruyter, vol. 9(3), pages 227-239, September.
    • Handle: RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:227-239:n:4
    DOI: 10.1515/156939603322728996
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/156939603322728996
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/156939603322728996?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2012. "A general control variate method for option pricing under Lévy processes," European Journal of Operational Research, Elsevier, vol. 221(2), pages 368-377.
    2. Baldeaux Jan, 2008. "Quasi-Monte Carlo methods for the Kou model," Monte Carlo Methods and Applications, De Gruyter, vol. 14(4), pages 281-302, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:227-239:n:4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.