Pricing of fixed-strike arithmetic Asian powered options

MaRDI QIDQ5160304zbMATH OpenFDO

Authors Zhen Li, Hong-Kun Xu

Publication date 28 October 2021

Full work available at URL http://yokohamapublishers.jp/online2/opjnca/vol20/p307.html

zbMATH Keywords

Asian powered optionBlack-Scholes-Merton modelfixed strikegeometric Brownian motionrisk-neutral valuationTaylor expansion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation
• Asian option pricing with orthogonal polynomials
• Spectral Expansions for Asian (Average Price) Options
• Pricing Asian options via Taylor approximations
• A different approach for pricing Asian options

Cited in

(8)

• Pricing Asian options via compound gamma and orthogonal polynomials
• Pricing arithmetic Asian options under hybrid stochastic and local volatility
• New pricing formula for arithmetic Asian options using PDE approach
• The valuation of powered options
• Pricing forward-starting power Asian options with floating strike price
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
• On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation
• An approximate closed-form formula of deferred arithmetic average Asian options

This page was built for publication: Pricing of fixed-strike arithmetic Asian powered options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5160304)