Advertisement

The Advantage of Harmonic Asian Options and an Approximation Approach

  • Xu Chen
  • Jianping Wan
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4114)

Abstract

We demonstrate that European Asian options with harmonic averaging behave better than Asian options with arithmetic and geometric averaging procedures under some situation. Approximation methods for the valuation of harmonic average options and numerical illustrations are also given.

Keywords

Asset Price Option Price Average Procedure Sample Path Numerical Illustration 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Xu Chen
    • 1
  • Jianping Wan
    • 1
  1. 1.Huazhong University of Science & Technology, Department of Mathematics, Wuhan 430074China

Personalised recommendations