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In this thesis, the value of Asian call and put options for fixed and floating strike will be determined by considering that the dividend is paid in cash. The simple approach in determining Asian option for arithmetic average will be used,i.e by developing the technique for pricing options on traded...
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id-itb.:85622017-09-27T14:41:45Z#TITLE_ALTERNATIVE# WIDYA ASTUTI (NIM 20105010), MAYA Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/8562 In this thesis, the value of Asian call and put options for fixed and floating strike will be determined by considering that the dividend is paid in cash. The simple approach in determining Asian option for arithmetic average will be used,i.e by developing the technique for pricing options on traded account, which include all options which could be replicated by a self-financing trading in the underlying asset. The resulting one-dimensional PDE for the price of the Asian Option can be easily implemented to give extremely fast and accurate results. Moreover, this approach easily incorporates cases of continuous or discrete dividends. text |
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In this thesis, the value of Asian call and put options for fixed and floating strike will be determined by considering that the dividend is paid in cash. The simple approach in determining Asian option for arithmetic average will be used,i.e by developing the technique for pricing options on traded account, which include all options which could be replicated by a self-financing trading in the underlying asset. The resulting one-dimensional PDE for the price of the Asian Option can be easily implemented to give extremely fast and accurate results. Moreover, this approach easily incorporates cases of continuous or discrete dividends. |
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Theses |
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WIDYA ASTUTI (NIM 20105010), MAYA |
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WIDYA ASTUTI (NIM 20105010), MAYA #TITLE_ALTERNATIVE# |
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WIDYA ASTUTI (NIM 20105010), MAYA |
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WIDYA ASTUTI (NIM 20105010), MAYA |
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#TITLE_ALTERNATIVE# |
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https://digilib.itb.ac.id/gdl/view/8562 |
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