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Efficient Quadratic Approximation of Floating Strike Asian Option Values

Chung, SL, Shackleton, M and Wojakowski, RM (2003) Efficient Quadratic Approximation of Floating Strike Asian Option Values Finance, 24 (1). pp. 49-62.

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Abstract

We derive a new formula for Asian options with floating strike, which proves more accurate for both low and higher volatility values. Average Strike Options are less often considered in the literature because their valuation is more complex. Compared to a benchmark our analytical formula is very efficient in the sense of accuracy vs speed, whereas numerical methods: Monte-Carlo, numerical integration of the partial differential equation or numerical inversion of the Laplace transform all require considerable calculating time.

Item Type: Article
Authors :
AuthorsEmailORCID
Chung, SLUNSPECIFIEDUNSPECIFIED
Shackleton, MUNSPECIFIEDUNSPECIFIED
Wojakowski, RMUNSPECIFIEDUNSPECIFIED
Date : June 2003
Depositing User : Symplectic Elements
Date Deposited : 28 Mar 2017 13:47
Last Modified : 28 Mar 2017 13:47
URI: http://epubs.surrey.ac.uk/id/eprint/767323

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