Title page for etd-0712112-130828


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URN etd-0712112-130828
Author Szu-Ying Chang
Author's Email Address No Public.
Statistics This thesis had been viewed 5592 times. Download 756 times.
Department Applied Mathematics
Year 2011
Semester 2
Degree Master
Type of Document
Language English
Title An Analytic Approach to Approximate Pricing of Forward-starting Asian Options
Date of Defense 2012-06-29
Page Count 36
Keyword
  • Asian Options
  • Options
  • Valuation
  • Strike Price
  • Forward-starting
  • Abstract An Asian option is a path-dependent option whose payoff depends on the average of the underlying asset price over a certain time interval. It can be European or American. The time interval can be the entire interval of the option's life from the initiation to the expiration, or beginning from some time later than the initiation until the option's expiration. The average can be arithmetic or geometric.
    This paper derives a closed-form solution for the valuation of European Geometric average fixed strike
    Asian call option and a closed-form solution for the valuation of a forward-starting Asian call option with arithmetic average floating strike.
    The valuation formula is obtained by relying upon a slight linear approximation. And the valuation formula of Asian call option with arithmetic average floating strike we have derived is different from that of L. Bouaziz, E. Briys and M. Crouhy (1994). We believe that our argument here is correct, and theirs is wrong.
    Advisory Committee
  • Lai-Jiu Lin - chair
  • Jen-Chih Yao - co-chair
  • Ngai-Ching Wong - co-chair
  • Hong-Kun Xu - advisor
  • Files
  • etd-0712112-130828.pdf
  • indicate access worldwide
    Date of Submission 2012-07-12

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