Pricing and Hedging Quanto Forward-Starting Floating-Strike Asian Options

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/51713

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51713

Title:	Pricing and Hedging Quanto Forward-Starting Floating-Strike Asian Options
Authors:	Chang,CC;Liao,TH;Tsao,CY
Contributors:	財務金融學系
Keywords:	SIMULATION;PRICES;PDE
Date:	2011
Issue Date:	2012-03-27 19:03:24 (UTC+8)
Publisher:	國立中央大學
Abstract:	This article derives analytic approximation formulae for valuing various types of panto forward-starting floating-strike Asian options, which are actively traded in over-the-counter markets. There are two advantages of using these analytic approximation formulae in this context. First, one can efficiently and accurately price quanto forward-starting floating-strike Asian options compared with a Monte Carlo simulation approach. Second, one can easily derive the Greeks of panto fonvard-starting floating-strike Asian options, which is especially important for practitioners who want to hedge their risks for issuing such options. The simulation results demonstrate that pricing errors using the analytic approximation formulae are less than 1%, compared with Monte Carlo simulation values. This study contributes to extant literature by providing an efficient and accurate method to price and hedge panto forward starting floating-strike Asian options.
Relation:	JOURNAL OF DERIVATIVES
Appears in Collections:	[Department of Finance] journal & Dissertation

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