Abstract
In this chapter, we describe and compare
alternative procedures for pricing Asian options. Asian options are derivatives contracts written
on an average price. More precisely, prices of an underlying security (or index)
are recorded on a set of dates during the lifetime of the contract. At the
option's maturity, a pay-off is computed as a deterministic function of an
average of these prices.
As reported by Falloon and Turner (1999), the first contract linked
to an average price was traded in 1987 by Bankers & Trust in Tokyo, hence
the attribute ``Asian''.
Asian options are quite popular among commodity derivative traders and risk managers.
Lingua originale | Inglese |
---|---|
Titolo della pubblicazione ospite | Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management |
Editore | wiley |
Pagine | 827-876 |
Numero di pagine | 50 |
ISBN (stampa) | 978-0-470-74524-3 |
DOI | |
Stato di pubblicazione | Pubblicato - 2015 |
Keywords
- Asian option
- Commodities
- Risk management
- Pricing