Static hedging of Asian options under Levy models

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Ressource 1Télécharger: BIB_5EC7ADBDB111.P001.pdf (198.92 [Ko])
Etat: Public
Version: de l'auteur
ID Serval
serval:BIB_5EC7ADBDB111
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Static hedging of Asian options under Levy models
Périodique
Journal of Derivatives
Auteur(s)
Albrecher H., Dhaene J., Goovaerts M., Schoutens W.
ISSN
1074-1240
Statut éditorial
Publié
Date de publication
2005
Peer-reviewed
Oui
Volume
12
Numéro
3
Pages
63-72
Langue
anglais
Résumé
The Asian option pricing problem is a lot like the American put problem in the 1970s. An Asian payoff is a rather simple, and common, option feature, but it messes up our clean, closed-form valuation equations. This situation is apparently a persistent source of annoyance to mathematicians and other quants, who respond with an outpouring of creativity, in the form of theory, algorithms, and approximate solutions. Although this may seem like overkill for the specific problem at hand, it produces useful new ideas and techniques for our general derivatives valuation toolkit. In this article, Albrecher et al, introduce a new approach to pricing Asian options, based on the principle of comonotonicity and the “stop-loss transform.” They derive tight bounds on the value, even when the underlying asset's price follows a Lévy process, rather than a Gaussian diffusion. As with many of the solutions to the American put problem, this technique can potentially be applied to a much broader class of valuation problems.
Création de la notice
12/05/2009 11:34
Dernière modification de la notice
20/08/2019 15:16
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