Czasopismo
2009
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Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2008
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151--163
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
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
Rocznik
Strony
151--163
Opis fizyczny
Twórcy
autor
- Uniwersytet Mikołaja Kopernika w Toruniu
Bibliografia
- Briys E., Bellalah M., Mai H.M., Varcnne F., Options, Futures and Exotic Derivatives, John Wiley&Sons, Chichester 1998
- Dziawgo E., Modele kontraktów, opcyjnych, Uniwersytet Mikołaja Kopernika, Toruń 2003
- Hull C.J., Options, futures and other derivatives, Prentice Hall International. Inc. 1989
- Jajuga K., Gudaszewski W., Mróz W., Opcje egzotyczne - wprowadzenie, "Rynek Terminowy"2004, nr 1
- Kuźmierkiewicz M., Opcje uwarunkowane, "Bank i Kredyt" 1999, czerwiec
- Napiórkowski A., Charakterystyka, wycena i zastosowanie wybranych opcji egzotycznych, NBP Departament Analiz i Badań, Warszawa 2002
- Zhang P.G., The Pricing of European-Style Flexible Asian Options, "The Journal of Financial Engineering" 1994, No 1
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171294169