About: Why to use Asian options and how to price them with discrete paths

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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Description	There is a lot of option referred to as path dependent, such as lookback options based on most favourable price, barrier options depending on some prespecified barrier or even Asian options. In this case the final pay-off depends on the path of the underlying price in some way. The big problem arises if the path is observable only in finite set of days. If the continuous solution of pricing problem is used to obtain the value of the option, the error (and possible loss) can be huge. In this paper we present some results given by numerical methods, in particular Monte Carlo simulation and Lattice model, used to price a special type of path-dependent option - an Asian call, whose pay-off is based on floating exercise price. The exercise price is computedas an arithmetic average of underlying asset prices. There is a lot of option referred to as path dependent, such as lookback options based on most favourable price, barrier options depending on some prespecified barrier or even Asian options. In this case the final pay-off depends on the path of the underlying price in some way. The big problem arises if the path is observable only in finite set of days. If the continuous solution of pricing problem is used to obtain the value of the option, the error (and possible loss) can be huge. In this paper we present some results given by numerical methods, in particular Monte Carlo simulation and Lattice model, used to price a special type of path-dependent option - an Asian call, whose pay-off is based on floating exercise price. The exercise price is computedas an arithmetic average of underlying asset prices. (en)
Title	Why to use Asian options and how to price them with discrete paths Why to use Asian options and how to price them with discrete paths (en)
skos:prefLabel	Why to use Asian options and how to price them with discrete paths Why to use Asian options and how to price them with discrete paths (en)
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http://linked.open...aciTvurceVysledku	Lichnovský, Petr Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	635533
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/03:00007691
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Path-dependent options, Asian call, Monte Carlo simulation, simulation via tree, floating average Asian option (en)
http://linked.open.../riv/klicoveSlovo	Asian call Path-dependent options floating average Asian option simulation via tree Monte Carlo simulation
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http://linked.open...i/riv/nazevZdroje	New trends of the development of industry
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http://linked.open...UplatneniVysledku	2003
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Lichnovský, Petr
http://linked.open...vavai/riv/typAkce	EUR - Evropská
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number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoké učení technické v Brně
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