標題: | Moment-Matching Approximations for Asian Options |
作者: | 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 |
公開日期: | 1-六月-2014 |
摘要: | 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 |
期刊: | JOURNAL OF DERIVATIVES |
Volume: | 21 |
Issue: | 4 |
起始頁: | 103 |
結束頁: | 122 |
顯示於類別: | 期刊論文 |