Essays about: "Asian Options"

Showing result 11 - 15 of 27 essays containing the words Asian Options.

  1. 11. Evaluation of Hedging Strategies of Asian Options on Electricity at Nord Pool

    University essay from KTH/Matematisk statistik

    Author : Ella Zackrisson; [2015]
    Keywords : Hedging strategies; Asian Options; Electricity;

    Abstract : This thesis empirically evaluates a geometric Brownian motion and a stochastic volatility model for modeling futures prices and hedging Asian call options on the electricity spot price. Estimation of parameters for the models is done based on historical futures prices of futures contracts with a one month delivery period using nonlinear regression and Maximum Likelihood techniques. READ MORE

  3. 12. Analytical Valuation of American-Style Asian Options under Jump-Diffusion Processes

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Stefane Saize; [2014]
    Keywords : ;

    Abstract : .... READ MORE

  4. 13. Valuation of Asian Options-with Levy Approximation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Qian Zhang; Aleksandra Mraovic; [2014]
    Keywords : Asian options; Monte Carlo simulation; constant volatility; stochastic volatility; Business and Economics;

    Abstract : Asian options are difficult to price analytically. Even though they have attracted much attention in recent years, there is still no closed-form solution available for pricing the arithmetic Asian options, because the distribution of the density function is unknown. READ MORE

  5. 14. Asian Option Pricing and Volatility

    University essay from KTH/Matematisk statistik

    Author : Erik Wiklund; [2012]
    Keywords : ;

    Abstract : Abstract   An Asian option is a path-depending exotic option, which means that either the settlement price or the strike of the option is formed by some aggregation of underlying asset prices during the option lifetime. This thesis will focus on European style Arithmetic Asian options where the settlement price at maturity is formed by the arithmetic average price of the last seven days of the underlying asset. READ MORE

  6. 15. Stable Numerical Methods for PDE Models of Asian Options

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Adam Rehurek; [2011]
    Keywords : Financial Mathematics; numerics; PDE; Asian Options;

    Abstract : Asian options are exotic financial derivative products which price must be calculated by numerical evaluation. In this thesis, we study certain ways of solving partial differential equations, which are associated with these derivatives. READ MORE