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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Bibliographic Details
Published inComputational Intelligence pp. 754 - 765
Main Authors Chen, Xu, Wan, Jianping
Format Book Chapter Conference Proceeding
LanguageEnglish
Published Berlin, Heidelberg Springer Berlin Heidelberg 2006
Springer
SeriesLecture Notes in Computer Science
Subjects
Algorithmics. Computability. Computer arithmetics
Applied sciences
Artificial intelligence
Asset Price
Average Procedure
Computer science; control theory; systems
Exact sciences and technology
Numerical Illustration
Option Price
Sample Path
Theoretical computing
Harmonic
Averaging method
Arithmetics
Artificial intelligence
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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.
ISBN:9783540372745
3540372741
ISSN:0302-9743
1611-3349
DOI:10.1007/978-3-540-37275-2_95