Asian call options
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What Is an Asian Option? - Investopedia
Asian option - Wikipedia
Asian Option | Formula | Example
PDF Introduction to Exotic Options . Asian Options .
PDF Asian Option Pricing: Monte Carlo Control Variate
Asian Options - University of Oxford
Asian Options - Tutorial and Excel Spreadsheet
PDF 3 .1 Pricing models of Asian options Partial diο¬erential . . .
Pricing Asian Options - MATLAB & Simulink Example
PDF Pricing Asian Options using Monte Carlo Methods
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An Asian option is an option type where the payoff depends on the average price of the underlying asset over a certain period of time as opposed to standard options (American and European) where . . .
There are two types of Asian options: fixed strike, where averaging price is used in place of underlying price; and fixed price, where averaging price is used in place of strike . One advantage of Asian options is that these reduce the risk of market manipulation of the underlying instrument at maturity (Kemna 1990, p . 1077)
Asian option (also known as average price option) is an option whose payoff is determined with respect to the (arithmetic or geometric) average price of the underlying asset over the term of the option .
There are eight basic kinds of Asian options: 1 .Put or call 2 .Geometric or arithmetic average 3 .Average asset price is used in place of underlying price or strike . Types of Averages Arithmetic versus geometric average Suppose we record the stock price at periods of length h between times 0 and T Arithmetic average:
Asian Option Pricing: Monte Carlo Control Variate A discrete arithmetic Asian call option has the payo 1 N+ 1 XN i=0 S Ti N K! + A discrete geometric Asian call option has the payo 0 @ " YN i=0 S Ti N # 1 N+1 K 1 A + It is known that in the Black-Scholes model the price of the geometric Asian call option is given by e rT(S 0e ΛTN(d 1) KN(d 2 . . .
Asian Options These options have payo s which depend on some average property of the underlying asset's price over the life, or some part of the life, of the option . The average is less volatile than the asset itself (but more volatile than a constant such as a strike), so options may be cheaper and less subject to manipulation .
Asian options are priced based on the average price of the underlying instrument . Both the strike value and expiration value can be calculated from the average value over a period of time . Asian options are no more difficult to understand than their vanilla counterparts . Consider a call on oil for a month, assuming a strike of $100 per barrel .
European ο¬oating strike Asian call option (Geometric averag-ing) Since the terminal payoο¬ of the ο¬oating strike Asian call option involves ST and GT, pricing by the risk neutral expectation approach would require the joint distribution of ST and GT . For ο¬oating strike Asian options, the partial diο¬erential equation method provides the
A Vanilla, or Asian, in the money (ITM) call option is more sensitive to price movements than an out of the money (OTM) option . If the asset price is deep in the money, then it is more likely to be exercised . The opposite occurs for an out of the money option .
Asian options are of particular importance for commodity products which have low trading volumes (e .g . crude oil), since price manipulation is inhibited . . . . at a later date . There are two basic kinds of options: the call option and the put option . A call option gives the buyer the right to buy the underlying asset while a put gives the buyer . . .
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Asian call options
