کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098720 | 1376954 | 2013 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asian and Australian options: A common perspective
ترجمه فارسی عنوان
گزینه های آسیایی و استرالیا: چشم انداز مشترک
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
We show that Australian options are equivalent to fixed or floating strike Asian options and consequently that by studying Asian options from the Australian perspective and vice versa, much can be gained. One specific application of this “Australian approach” leads to a natural dimension reduction for the pricing PDE of Asian options, with or without stochastic volatility, featuring time independent coefficients. Another application lies in the improvement of Monte Carlo schemes, where the “Australian approach” results in a path-independent method. We also show how the Milevsky and Posner (1998) result on the reciprocal Î-approximation for Asian options can be quickly obtained by using the connection to Australian options. Further, we present an analytical (exact) pricing formula for Australian options and adapt a result of Carr et al. (2008) to show that the price of an Australian call option is increasing in the volatility and by doing this answering a standing question by Moreno and Navas (2008).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 5, May 2013, Pages 1001-1018
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 5, May 2013, Pages 1001-1018
نویسندگان
Christian-Oliver Ewald, Olaf Menkens, Sai Hung Marten Ting,