JEFAS Vol. 15 Nº 29 (2010)

URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4116

Examinar

Seleccione resultados tecleando las primeras letras
Mostrando 1 - 1 de 1
  • Miniatura
    ÍtemSolo Metadatos
    Pricing arithmetic Asian options under the CEV process
    (Universidad ESAN. ESAN Ediciones, 2010-12-30) Peng, Bin; Peng, Fei
    This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in CEV process.