Titolo
Pricing Discretely Monitored Asian Options under Lévy Processes
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2007 - Volume: 07 - Fascicolo: 29 - Pagina iniziale: 1 - Pagina finale: 51

We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Lévy process. For geomet- ric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Lévy-stable case. For arithmetic Asian options we solve the valuation problem by recursive integration and derive a recursive theoretical formula for the moments to check the accuracy of the results. We compare the implementation of our method to Monte Carlo simulation, using several parametric Lévy processes. We also discuss model-risk issues.



Testo completo: http://semeq.unipmn.it/files/Quaderno%2029%20completo.pdf

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