Australian Asian options
| Contribuinte(s) |
Universitat Pompeu Fabra. Departament d'Economia i Empresa |
|---|---|
| Data(s) |
15/09/2005
|
| Resumo |
We study European options on the ratio of the stock price to its averageand viceversa. Some of these options are traded in the Australian StockExchange since 1992, thus we call them Australian Asian options. Forgeometric averages, we obtain closed-form expressions for option prices.For arithmetic means, we use dierent approximations that produce verysimilar results. |
| Identificador | |
| Idioma(s) |
eng |
| Direitos |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons info:eu-repo/semantics/openAccess <a href="http://creativecommons.org/licenses/by-nc-nd/3.0/es/">http://creativecommons.org/licenses/by-nc-nd/3.0/es/</a> |
| Palavras-Chave | #Finance and Accounting #asian options #arithmetic average #geometric average #edgeworth expansion #lognormal distribution #gamma distribution |
| Tipo |
info:eu-repo/semantics/workingPaper |
