Pricing and properties of flexible Asian options

• Autorzy: Ewa Dziawgo
• Języki publikacji: EN

Abstrakty

EN

Asian options are in the class of the exotic options based on the average price of the underlying instrument. The income form the options depends on the average price of the underlying instrument reached within the time to expiry. Asian options function on the over-the-counter trading. Considering the type of the average used in the pricing formula Asian options can be divided into geometric and arithmetic. There are average-price and average-strike Asian options depending on which of the elements influencing the value of the option pay-off is replaced by the average value of the underlying instrument. Flexible Asian options are in the group of the modified Asian options. The weighted average used for their pricing is their characteristic feature, In 1994 Zhang priced the flexible Asian options. The average-price Asian call option is realised if on the expiry date the average price of the underlying instrument is higher than the strike price. In the situation when the price of the underlying instrument is lower than the strike price the value of the pay-off function amounts to zero.(fragment of text)

Słowa kluczowe

EN

Asian options; Exotic options

PL

Opcje azjatyckie; Opcje egzotyczne

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Tom: Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2008
• Strony: 151--163

Twórcy

autor

Ewa Dziawgo

• Uniwersytet Mikołaja Kopernika w Toruniu

Bibliografia

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