Pricing of Asian Options
A discussion of the problem of pricing Asian options with Monte Carlo methods is given in a paper by Kemna and Vorst.
In the path integral approach to option pricing, the problem for geometric average can be solved via the Effective Classical potential of Feynman and Kleinert.
Rogers and Shi solve the pricing problem with a PDE approach .
Variance Gamma model can be efficiently implemented when pricing Asian style options. Then using the Bondesson series representation for generating the variance gamma process shows to increase performance when pricing this type of option.
Within Lévy models the pricing problem for geometrically Asian options can still be solved. For the arithmetic Asian option in Lévy models one can rely on numerical methods or on analytic bounds .
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Famous quotes containing the word asian:
“If he roars at you as you’re dyin’
You’ll know it is the Asian Lion.”
—Carolyn Wells (1862–1942)