Title: | Moment-Matching Approximations for Asian Options |
Authors: | Lo, Chien-Ling Palmer, Kenneth J. Yu, Min-Teh 資訊管理與財務金融系 註:原資管所+財金所 Department of Information Management and Finance |
Issue Date: | 1-Jun-2014 |
Abstract: | This study provides a generalized framework under which all types of Asian options can be priced: fixed and floating strike, forward starting, and in progress. We not only extend the previous studies to our framework, but also propose a new and theoretically supported closed-form approximation for the option prices. We utilize the moment-matching approach, providing a tractable, flexible, and efficient iterative method to calculate the moments. This study also suggests that the use of a Taylor expansion is unnecessary and exhibits the considerable improvement achieved by avoiding truncation errors. |
URI: | http://hdl.handle.net/11536/24991 |
ISSN: | 1074-1240 |
Journal: | JOURNAL OF DERIVATIVES |
Volume: | 21 |
Issue: | 4 |
Begin Page: | 103 |
End Page: | 122 |
Appears in Collections: | Articles |