Asia-Pacific Financial Markets

, Volume 12, Issue 4, pp 289–306

On the asymptotic behavior of the prices of Asian options

Original Paper

Abstract

In this paper, we study the price of a long term Asian option the pay-off of which is determined by the average price of the underlying asset during the last fixed number of days of its life. As one can imagine, it converges to the price of a plain vanilla option as the time to maturity increases. We explicitly obtained the asymptotic difference which will be useful for computing the price of Asian option in practice.

Keywords

Asian option Asymptotic behavior 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Science+Business Media, LLC 2006

Authors and Affiliations

  1. 1.Fixed Income Trading Department, Fixed Income GroupMizuho Securities Co., Ltd.TokyoJapan
  2. 2.Department of Mathematical SciencesRitsumeikan UniversityShigaJapan

Personalised recommendations