| Type of Document |
Master's Thesis |
| Author |
Sudler, Glenn F.
|
| Author's Email Address |
gsudler@math.vt.edu |
| URN |
etd-080199-202859 |
| Title |
Asian Options: Inverse Laplace Transforms and Martingale Methods Revisited
|
| Degree |
Master of Science |
| Department |
Mathematics |
| Advisory Committee |
| Advisor Name |
Title |
| Rogers, Robert C. |
Committee Chair |
| Chance, Donald M. |
Committee Member |
| Day, Martin V. |
Committee Member |
|
| Keywords |
- Hedging
- Martingale Methods
- Valuation
- Laplace Transforms
- Asian Options
|
| Date of Defense |
1999-07-26 |
| Availability |
unrestricted |
Abstract
Arithmetic Asian options are difficult to price and hedge, since, at the present, no closed-form analytical solution exists to price them. This difficulty, moreover, has led to the development of various methods and models used to price these instruments. The purpose of this thesis is two-fold. First, we present an overview of the literature. Secondly, we develop a pseudo-analytical method proposed by Geman and Yor and present an accurate and relatively quick algorithm which can be used to price European-style arithmetic Asian options and their hedge parameters.
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| Files |
| Filename |
Size |
Approximate Download Time
(Hours:Minutes:Seconds)
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| 28.8 Modem |
56K Modem |
ISDN (64 Kb) |
ISDN (128 Kb) |
Higher-speed Access |
| |
sudler.pdf |
291.90 Kb |
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00:00:41 |
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