✦ LIBER ✦
On approximating deep in-the-money Asian options under exponential Lévy processes
✍ Scribed by Leonard Tchuindjo
- Publisher
- John Wiley and Sons
- Year
- 2010
- Tongue
- English
- Weight
- 126 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
This note proposes a new approach of valuing deep in‐the‐money fixed strike and discretely monitoring arithmetic Asian options. This new approach prices Asian options whose underlying asset price evolves according to the exponential of a Lévy process as a weighted sum of European options. Numerical results from experimenting on three different types of Lévy processes—a diffusion process, a jump diffusion process, and a pure jump process—illustrate the accuracy of the approach. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark