Artikel
Pricing Asian power options under jump-fraction process
A framework for pricing Asian power options is developed when the underlying asset follows a jumpfraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Itô’s lemma and self-financing dynamic strategy. With the boundary condition, an analytic formula for the option with geometric average starting at any time before maturity is derived by solving the PDE, and the option with arithmetic average is evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming numerical evidence indicates that the technique proposed is computationally efficient and dramatically improves the accuracy of the simulated price. Moreover, this study will pave a novel way to copy with the option contracts based on thinly-traded assets like oil, or currencies or interest rates.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Economics, Finance and Administrative Science ; ISSN: 2218-0648 ; Volume: 17 ; Year: 2012 ; Issue: 33 ; Pages: 2-9 ; Barcelona: Elsevier España
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Trade: Forecasting and Simulation
- Thema
-
Asian power option
Geometric average
Arithmetic average
Jump-fraction process
Control variate
Opciones energéticas de Asia
Media geométrica
Media aritmét©ica
Método de fracciones discontinuas
Variable de control
- Ereignis
-
Geistige Schöpfung
- (wer)
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Peng, Bin
Peng, Fei
- Ereignis
-
Veröffentlichung
- (wer)
-
Elsevier España
- (wo)
-
Barcelona
- (wann)
-
2012
- DOI
-
doi:10.1016/S2077-1886(12)70002-1
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Peng, Bin
- Peng, Fei
- Elsevier España
Entstanden
- 2012
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