Asian option pricing

被引：0

作者：

Svabova, Lucia ^{[1
]}

Durica, Marek ^{[1
]}

机构：

[1] Univ Zilina, Fac Operat & Econ Transport & Commun, Dept Quantitat Methods & Econ Informat, Zilina, Slovakia

来源：

MANAGING AND MODELLING OF FINANCIAL RISKS - 6TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS 1 AND 2 | 2012年

关键词：

European call option; Asian option; The Black - Scholes model; Binomical trees; Monte Carlo method; Finite difference method; Option pricing;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper deals with the determination of selected options prices using various numerical methods the Monte Carlo method, The binomial trees method and Finite difference method and with the comparison of the price fixed by these numerical methods with the price set by an analytical formula. The basis for the price setting of any derivative instrument is the Black - Scholes partial differential equation. In the article we show how to use selected numerical methods for the particular type of Asian options whose underlying asset is a share without dividend. We also present the examples of the application of methods for the particular Asian option with the selected parameters. The results are always compared with the price set directly by the Black - Scholes formula.

引用

页码：600 / +

页数：2