Efficient and accurate quadratic approximation methods for pricing Asian strike options

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/51707

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题名:	Efficient and accurate quadratic approximation methods for pricing Asian strike options
作者:	Chang,CC;Tsao,CY
贡献者:	財務金融學系
关键词:	BOUNDS;PRICES
日期:	2011
上传时间:	2012-03-27 19:03:18 (UTC+8)
出版者:	國立中央大學
摘要:	This study is on valuing Asian strike options and presents efficient and accurate quadratic approximation methods that work extremely well, both with regard to the volatility of a wide range of underlying assets, and longer average time windows. We demonstrate that most of the well-known quadratic approximation methods used in the literature for pricing Asian strike options are special cases of our model, with the numerical results demonstrating that our method significantly outperforms the other quadratic approximation methods examined here. Using our method for the calculation of hundreds of Asian strike options, the pricing errors (in terms of the root mean square errors) are reasonably small. Compared with the Monte Carlo benchmark method, our method is shown to be rapid and accurate. We further extend our method to the valuing of quanto forward-starting Asian strike options, with the pricing accuracy of these options being largely the same as the pricing of plain vanilla Asian strike options.
關聯:	QUANTITATIVE FINANCE
显示于类别:	[財務金融學系] 期刊論文

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