Authors
Abstract
An Asian option (or average value option) is a special type of option contract. Its payoff is determined by the average underlying price over some pre-set period of time. Asian option is hard to price analytically and numerically. There is no exact solution for these options in the Black-Scholes environment. Lower and upper bounds formula for these options have been derived by Rogers and Shi(1995). This difference between the upper and lower bound is independent of the exercise price. In this paper we develop lower and upper bounds in which the difference between lower and upper bounds depends on the exercise price.
Keywords
حیدری، نرگس (1393)، فرمولهای دقیق برای قیمتگذاری اختیارات گسسته و پیوسته آسیایی، دانشگاه علامه طباطبایی.
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