A new PDE approach for pricing arithmetic average Asian options
A new PDE approach for pricing arithmetic average Asian options
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DOI：
10.21314/jcf.2001.064
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发表时间：
2001
影响因子：
0.9
通讯作者：
J. Vecer
中科院分区：
文献类型：
--
作者：
J. Vecer
本文研究了算术平均亚式期权。据观察，亚式期权是交易账户期权的一个特殊情况。亚式期权的价格可以用一个简单的一维偏微分方程来描述，该方程适用于连续和离散的平均亚式期权。文章还提供了定价方程的数值实现。即使对于低波动性和/或短期成熟度的情况，实施也是快速和准确的。
In this paper, arithmetic average Asian options are studied. It is observed that the Asian option is a special case of the option on a traded account. The price of the Asian option is characterized by a simple one-dimensional partial differential equation which could be applied to both continuous and discrete average Asian option. The article also provides numerical implementation of the pricing equation. The implementation is fast and accurate even for low volatility and/or short maturity cases.