Pricing arithmetic asian options under the cev process

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This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lo...

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Detalles Bibliográficos
Autores: Peng, Bin, Peng, Fei
Formato: artículo
Fecha de Publicación:2010
Institución:Universidad ESAN
Repositorio:Revistas - Universidad ESAN
Lenguaje:inglés
OAI Identifier:oai:ojs.pkp.sfu.ca:article/264
Enlace del recurso:https://revistas.esan.edu.pe/index.php/jefas/article/view/264
Nivel de acceso:acceso abierto
Materia:Exotic options
arithmetic Asian options
binomial tree method
CEV process
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spelling Pricing arithmetic asian options under the cev processPeng, Bin Peng, Fei Exotic optionsarithmetic Asian optionsbinomial tree methodCEV processThis paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in CEV process.Universidad ESAN2010-12-30info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed Articleapplication/pdfhttps://revistas.esan.edu.pe/index.php/jefas/article/view/264Journal of Economics, Finance and Administrative Science; Vol. 15 No. 29 (2010): July - December; 7-13Journal of Economics, Finance and Administrative Science; Vol. 15 Núm. 29 (2010): July - December; 7-132218-06482077-1886reponame:Revistas - Universidad ESANinstname:Universidad ESANinstacron:ESANenghttps://revistas.esan.edu.pe/index.php/jefas/article/view/264/154Copyright (c) 2010 Journal of Economics, Finance and Administrative Sciencehttps://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:ojs.pkp.sfu.ca:article/2642021-09-15T03:25:57Z
dc.title.none.fl_str_mv Pricing arithmetic asian options under the cev process
title Pricing arithmetic asian options under the cev process
spellingShingle Pricing arithmetic asian options under the cev process
Peng, Bin
Exotic options
arithmetic Asian options
binomial tree method
CEV process
title_short Pricing arithmetic asian options under the cev process
title_full Pricing arithmetic asian options under the cev process
title_fullStr Pricing arithmetic asian options under the cev process
title_full_unstemmed Pricing arithmetic asian options under the cev process
title_sort Pricing arithmetic asian options under the cev process
dc.creator.none.fl_str_mv Peng, Bin
Peng, Fei
author Peng, Bin
author_facet Peng, Bin
Peng, Fei
author_role author
author2 Peng, Fei
author2_role author
dc.subject.none.fl_str_mv Exotic options
arithmetic Asian options
binomial tree method
CEV process
topic Exotic options
arithmetic Asian options
binomial tree method
CEV process
description This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in CEV process.
publishDate 2010
dc.date.none.fl_str_mv 2010-12-30
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistas.esan.edu.pe/index.php/jefas/article/view/264
url https://revistas.esan.edu.pe/index.php/jefas/article/view/264
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://revistas.esan.edu.pe/index.php/jefas/article/view/264/154
dc.rights.none.fl_str_mv Copyright (c) 2010 Journal of Economics, Finance and Administrative Science
https://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2010 Journal of Economics, Finance and Administrative Science
https://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad ESAN
publisher.none.fl_str_mv Universidad ESAN
dc.source.none.fl_str_mv Journal of Economics, Finance and Administrative Science; Vol. 15 No. 29 (2010): July - December; 7-13
Journal of Economics, Finance and Administrative Science; Vol. 15 Núm. 29 (2010): July - December; 7-13
2218-0648
2077-1886
reponame:Revistas - Universidad ESAN
instname:Universidad ESAN
instacron:ESAN
instname_str Universidad ESAN
instacron_str ESAN
institution ESAN
reponame_str Revistas - Universidad ESAN
collection Revistas - Universidad ESAN
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1845609983829344256
score 12.789326
Pricing arithmetic asian options under the cev process
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