English, Article edition: Asian options versus vanilla options: a boundary analysis George L. Ye

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/30772
Physical Description
  • article
Language
  • English

Edition details

Title
  • Asian options versus vanilla options: a boundary analysis
Author
  • George L. Ye
Physical Description
  • article
Notes
  • Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is always cheaper than its plain vanilla European counterpart in a general setting. Design/​methodology/​approach – The paper shows that by letting volatility go to zero, the lower bounds of Asian options and vanilla options are derived. Those bounds are then compared. Findings – The paper finds that the notion can be violated for call options when the dividend yield of the underlying stock is higher than the interest rate, as well as for put options when the dividend yield of the underlying stock is lower than the interest rate. Research limitations/​implications – The approach used in this paper, boundary analysis, can be applied to other exotic options. Practical implications – The results in the paper may affect decisions on trading Asian options. Originality/​value – The paper will be of value to those interested in using/​pricing/​hedging Asian options.
  • Asset valuation, Pricing, Risk analysis, Stock options
  • RePEc:eme:jrfpps:v:9:y:2008:i:2:p:188-199
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment