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-Jun-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
Appears in Collections:Articles