Asian Options With the American Early Exercise Feature

Currency-translated foreign equity options (quanto options) are designed for investors who would like to manage different types of risk in international equity investments. The terminal payoffs of quanto options depend on the price of a foreign currency denominated asset (or stock index) and the exchange rate in different combinations of choices. This paper presents a systematic framework to derive pricing formulas for different European-style quanto options with path-dependent payoff functions. The path dependent features can be the barrier feature associated with the underlying asset price movement, the averaging feature of the exchange rate over the life of the option, etc. In many cases, the pricing formulas for quanto options can be inferred from their vanilla counterparts by applying the quanto-prewashing technique of making modifications on the risk neutralized drift rates and volatility rates. The extension of the pricing formulations to multi-asset extremum options with the quanto feature is also considered. The pricing behaviors of the joint quanto options and the Asian quanto options are examined.

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“…Hence, the governing equation for V d = V d (S, G S , t) can be inferred easily from Eq. (7) to be (see [9])…”

Section: Currency-translated Foreign Equity Options 267mentioning

confidence: 99%

Currency-Translated Foreign Equity Options With Path Dependent Features and Their Multi-Asset Extensions

Kwok

Wong

2000

Int. J. Theor. Appl. Finan.

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“…In the following theorem we present a solution to the pricing problem with one stochastic variable x t formulated in (3). It is a generalization of the result by (Hansen and Jørgensen 2000) and (Wu et al 1999) for the case of a nontrivial dividend rate q ≥ 0 and a general form of the averaging of the floating strike price.…”

Section: A Probabilistic Approach For Pricing Of American-style Of Asmentioning

confidence: 63%

“…oil industry (cf. (Wilmott, Howison and Dewynne 1995, Hull 1997, Wu, Kwok and Yu 1999, Hansen and Jørgensen 2000, Detemple 2006, Dai and Kwok 2006, Wystup 2006, Kwok 2008, Kim and Oh 2004, Wu and Fu 2003, Linetsky 2004).…”

Section: Introductionmentioning

confidence: 99%

Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation

Bokes

Ševčovič

2009

SSRN Journal

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In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jørgensen 2000) by including a continuous dividend rate q and a general method of averaging of the floating strike. We focus on the qualitative and quantitative analysis of the early exercise boundary. The first order Taylor series expansion of the early exercise boundary close to expiry is constructed. We furthermore propose an efficient numerical algorithm for determining the early exercise boundary position based on the front fixing method. Construction of the algorithm is based on a solution to a nonlocal parabolic partial differential equation for the transformed variable representing the synthesized portfolio. Various numerical results and comparisons of our numerical method and the method developed by (Dai and Kwok 2006) are presented.

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“…Modifications of the basic Asian option model have been formulated, such as the American Asian option model [3]. This model allows the option to be exercised any time during its lifetime, keeping the payoff calculation using the mean price of the asset.…”

Section: Asian Optionsmentioning

confidence: 99%

FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex options

Sanchez-Roman

Moreno

López-Buedo

et al. 2013

Journal of Systems Architecture

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Esta es la versión de autor de la comunicación de congreso publicada en: This is an author produced version of a paper published in: AbstractIn this paper we present an FPGA implementation of a Monte-Carlo method for pricing Asian Options using Impulse C and floating-point arithmetic. In an Altera Stratix-V FPGA, a 149x speedup factor was obtained against an OpenMP-based solution in a 4-core Intel Core i7 processor. This speedup is comparable to that reported in the literature using a classic HDL-based methodology, but the development time is significantly reduced. Additionally, the use of a HLL-based methodology allowed us to implement a highquality gaussian random number generator, which produces more precise results than those obtained with the simple generators usually present in HDL-based designs.

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Asian Options With the American Early Exercise Feature

Cited by 15 publications

References 7 publications

Currency-Translated Foreign Equity Options With Path Dependent Features and Their Multi-Asset Extensions

Currency-Translated Foreign Equity Options With Path Dependent Features and Their Multi-Asset Extensions

Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation

FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex options

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