Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options
Summary: Conic finance is a new and exciting development in quantitative finance, which is widely applied to several topics in finance. The theory of conic finance extends the law of one price to the law of two prices, which yields closed forms for bid-ask prices of European options. In this paper, within the framework of conic finance, we derive effective, explicit, approximate formulas to estimate the bid-ask prices for the European discrete geometric average and arithmetic average Asian options. Finally, we give two examples to demonstrate and validate that the approximate closed-form solutions are efficient and accurate.
- Estimation of ask and bid prices for geometric Asian options
- Efficient solutions for discrete Asian options
- scientific article; zbMATH DE number 5005059
- Arithmetic average Asian option pricing problem under the nonlinear Black-Scholes model
- On European and Asian option pricing in the generalized hyperbolic model
- A Universal Framework for Pricing Financial and Insurance Risks
- Applied conic finance
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Estimation of ask and bid prices for geometric Asian options
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Implied liquidity risk premia in option markets
- Markets as a counterparty: an introduction to conic finance
- Stochastic Volatility for Lévy Processes
- Theory of capacities
This page was built for publication: Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2045356)
