中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach

文献类型：期刊论文

作者Ding, Kailin2; Cui, Zhenyu1,3; Yang, Xiaoguang2
刊名JOURNAL OF FUTURES MARKETS
出版日期2022-11-23
页码25
ISSN号0270-7314
关键词American Asian options Asian option diffusion operator integral series expansion
DOI10.1002/fut.22387
英文摘要In this paper, we propose a new explicit series expansion formula for the price of an arithmetic Asian option under the Black-Scholes model and Merton's jump-diffusion model. The method is based on an equivalence in law relation together with the diffusion operator integral method proposed by Heath and Platen. The method yields explicit series expansion formula for the Asian options' prices. The theoretical convergence of the expansion to the true value is established. We also consider the American Asian option (i.e., Amerasian option) and derive the corresponding expansion formula through the early exercise premium representation. Numerical results illustrate the accuracy and efficiency of the method as compared with benchmarks in the literature.
资助项目NSF ; [CNS-2113906]
WOS研究方向Business & Economics
语种英语
出版者WILEY
WOS记录号WOS:000889206500001
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/60589]  
专题中国科学院数学与系统科学研究院
通讯作者Cui, Zhenyu
作者单位1.Stevens Inst Technol, Sch Business, Hoboken, NJ USA
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
3.Stevens Inst Technol, Sch Business, Babbio Ctr 545, 1 Castle Point Hudson, Hoboken, NJ 07030 USA
推荐引用方式
GB/T 7714		 Ding, Kailin,Cui, Zhenyu,Yang, Xiaoguang. Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach[J]. JOURNAL OF FUTURES MARKETS,2022:25.
APA Ding, Kailin,Cui, Zhenyu,&Yang, Xiaoguang.(2022).Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach.JOURNAL OF FUTURES MARKETS,25.
MLA Ding, Kailin,et al."Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach".JOURNAL OF FUTURES MARKETS (2022):25.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。