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The Istanbul option: Where the standard European option becomes Asian

✍ Scribed by Michel Jacques

Book ID
104299620
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
779 KB
Volume
21
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

We introduce a new type of option, similar to Asian options but where the averaging period is random: the average begins when the underlying price hits a barrier. We give a closed-form formula for the call price, based on approximation formulae for Asian options, in the case of a continuous average and in the case of a discrete arithmetic average.

📜 SIMILAR VOLUMES

Pricing European Asian options with skew
Pricing European Asian options with skewness and kurtosis in the underlying distribution
✍ Keng-Hsin Lo; Kehluh Wang; Ming-Feng Hsu 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 336 KB

## Abstract Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing