Titolo
Pricing Discretely Monitored Asian Options by Maturity Randomization
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2009 - Fascicolo: 15 - Pagina iniziale: 1 - Pagina finale: 21

We present a. new methodology based on maturity randomization to price discretely monitored arithmetic Asian options when the underlying asset evolves according to a generic Levy process. Our randomization technique considers the option expiry to be a random variable distributed according to a geometric distribution of a parameter independent of the underlying process. This allows one to transform the pricing backward procedure into a set of independent integral equations. Numerical procedures for a fast and accurate solution of the pricing problem are provided.




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