Australian Asian options
We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use dierent approximations that produce very similar results.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alziary, Benedicte & Decamps, Jean-Paul & Koehl, Pierre-Francois, 1997.
"A P.D.E. approach to Asian options: analytical and numerical evidence,"
Journal of Banking & Finance,
Elsevier, vol. 21(5), pages 613-640, May.
- Alziary, B. & Decamps, J-P. & Koehl, P-F., 1996. "A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence," Papers 96.430, Toulouse - GREMAQ.
- Yor, Marc, 1993. "From planar Brownian windings to Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 13(1), pages 23-34, September.
- Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, vol. 6(3), pages 355-370.
- Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March.
- Nielsen, J. A. & K. Sandmann, 1995.
"The Pricing of Asian Options under Stochastic Interest Rates,"
Discussion Paper Serie B
323, University of Bonn, Germany, revised Dec 1995.
- J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(3), pages 209-236.
- Daniel Dufresne, 2000. "Laguerre Series for Asian and Other Options," Mathematical Finance, Wiley Blackwell, vol. 10(4), pages 407-428.
- Milevsky, Moshe Arye & Posner, Steven E., 1998. "Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 409-422, September.
- Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 377-389, September.
- Robert JARROW & Andrew RUDD, 2008.
"Approximate Option Valuation For Arbitrary Stochastic Processes,"
World Scientific Book Chapters,
in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 1, pages 9-31
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
- Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
- De Schepper, A. & Teunen, M. & Goovaerts, M., 1994. "An analytical inversion of a Laplace transform related to annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 33-37, April.
- Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 449-473, June.
- Bouaziz, Laurent & Briys, Eric & Crouhy, Michel, 1994. "The pricing of forward-starting asian options," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 823-839, October.
- Robert C. Merton, 1975.
"An Asymptotic Theory of Growth Under Uncertainty,"
Review of Economic Studies,
Oxford University Press, vol. 42(3), pages 375-393.
- Vorst, Ton, 1992. "Prices and hedge ratios of average exchange rate options," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 179-193.
- Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany.
- Jacques, Michel, 1996. "On the Hedging Portfolio of Asian Options," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(02), pages 165-183, November.
- Michael Curran, 1994. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, INFORMS, vol. 40(12), pages 1705-1711, December.
- Levy, Edmond, 1992. "Pricing European average rate currency options," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 474-491, October.
- Corwin Joy & Phelim P. Boyle & Ken Seng Tan, 1996. "Quasi-Monte Carlo Methods in Numerical Finance," Management Science, INFORMS, vol. 42(6), pages 926-938, June.
- Peter Ritchken & L. Sankarasubramanian & Anand M. Vijh, 1993. "The Valuation of Path Dependent Contracts on the Average," Management Science, INFORMS, vol. 39(10), pages 1202-1213, October.
When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:680. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.