Title page for ETD etd-080199-202859


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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