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Description
  • Discretely sampled Asian option belongs to the family of path-dependent options. The payoff of this type of financial derivative depends on the average determined by the discrete set of the underlying asset prices. However, the returns of mostly financial assets commonly do not support the assumption of the law of normal distribution. In related paper (Lichnovský and Tichý, 2003) we present a way how to price Asian options via simulation in a tree accepting the characters of calibrated returns. The task of this paper is to present another possible way based on application of Variance Gamma process (Madan and Seneta, 1990).
  • Discretely sampled Asian option belongs to the family of path-dependent options. The payoff of this type of financial derivative depends on the average determined by the discrete set of the underlying asset prices. However, the returns of mostly financial assets commonly do not support the assumption of the law of normal distribution. In related paper (Lichnovský and Tichý, 2003) we present a way how to price Asian options via simulation in a tree accepting the characters of calibrated returns. The task of this paper is to present another possible way based on application of Variance Gamma process (Madan and Seneta, 1990). (en)
  • Diskrétní Asijské opce se řadí mezi širokou skupinu PD opcí. Výplata těchto opcí je silně závislá na cestě sledované cenou podkaldového aktiva v průběhu životnosti opce, konkrétně na průměru cen. Vzhledem ke skutečnosti, že výnosy finančních aktiv zpravidla nevykazují character normálního rozložení, je v posledních letech věnována velká pozornost modelům, které tyto empirické charakteristiky zohledňují. V tématicky příbuzném článku (Lichnovský a Tichý, 2003) byl prezetnován způsob kalibrace ve stromu s využitím simulace. Oproti tomu tento článek pracuje s VG procesem (Madan a Seneta, 1990). (cs)
Title
  • Alternativní způsob ocenění diskrétních Asijských opcí (cs)
  • An alternative way to price discretely sampled Asian options
  • An alternative way to price discretely sampled Asian options (en)
skos:prefLabel
  • Alternativní způsob ocenění diskrétních Asijských opcí (cs)
  • An alternative way to price discretely sampled Asian options
  • An alternative way to price discretely sampled Asian options (en)
skos:notation
  • RIV/61989100:27510/04:00010402!RIV/2005/GA0/275105/N
http://linked.open.../vavai/riv/strany
  • 384-391
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/02/1046)
http://linked.open...iv/cisloPeriodika
  • 1
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 554053
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/04:00010402
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • path-dependent option;Asian option;discrete path;Monte Carlo simulation;skewness;kurtosis;Variance Gamma process;stratification;Bridge distribution;VG bridge (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [4ACF95CFA888]
http://linked.open...i/riv/nazevZdroje
  • ECON 04
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 11
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
issn
  • 0015-1920
number of pages
http://localhost/t...ganizacniJednotka
  • 27510
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