Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach

doi:10.1002/fut.22387

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	Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach
	Ding, Kailin 1; Cui, Zhenyu 2,3; Yang, Xiaoguang 1
	2022-11-23
发表期刊	JOURNAL OF FUTURES MARKETS
ISSN	0270-7314
页码	25
摘要	In this paper, we propose a new explicit series expansion formula for the price of an arithmetic Asian option under the Black-Scholes model and Merton's jump-diffusion model. The method is based on an equivalence in law relation together with the diffusion operator integral method proposed by Heath and Platen. The method yields explicit series expansion formula for the Asian options' prices. The theoretical convergence of the expansion to the true value is established. We also consider the American Asian option (i.e., Amerasian option) and derive the corresponding expansion formula through the early exercise premium representation. Numerical results illustrate the accuracy and efficiency of the method as compared with benchmarks in the literature.
关键词	American Asian options Asian option diffusion operator integral series expansion
DOI	10.1002/fut.22387
收录类别	SCI
语种	英语
资助项目	NSF ; [CNS-2113906]
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:000889206500001
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60590
专题	中国科学院数学与系统科学研究院
通讯作者	Cui, Zhenyu
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Stevens Inst Technol, Sch Business, Hoboken, NJ USA 3.Stevens Inst Technol, Sch Business, Babbio Ctr 545, 1 Castle Point Hudson, Hoboken, NJ 07030 USA
推荐引用方式 GB/T 7714	Ding, Kailin,Cui, Zhenyu,Yang, Xiaoguang. Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach[J]. JOURNAL OF FUTURES MARKETS,2022:25.
APA	Ding, Kailin,Cui, Zhenyu,&Yang, Xiaoguang.(2022).Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach.JOURNAL OF FUTURES MARKETS,25.
MLA	Ding, Kailin,et al."Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach".JOURNAL OF FUTURES MARKETS (2022):25.