The Advantage of Harmonic Asian Options and an Approximation Approach
We demonstrate that European Asian options with harmonic averaging behave better than Asian options with arithmetic and geometric averaging procedures under some situation. Approximation methods for the valuation of harmonic average options and numerical illustrations are also given.
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Published in | Computational Intelligence pp. 754 - 765 |
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Main Authors | , |
Format | Book Chapter Conference Proceeding |
Language | English |
Published |
Berlin, Heidelberg
Springer Berlin Heidelberg
2006
Springer |
Series | Lecture Notes in Computer Science |
Subjects | |
Online Access | Get full text |
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Summary: | We demonstrate that European Asian options with harmonic averaging behave better than Asian options with arithmetic and geometric averaging procedures under some situation. Approximation methods for the valuation of harmonic average options and numerical illustrations are also given. |
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ISBN: | 9783540372745 3540372741 |
ISSN: | 0302-9743 1611-3349 |
DOI: | 10.1007/978-3-540-37275-2_95 |