Dassios, Angelos and Nagaradjasarma, Jayalaxshmi (2006) The square-root process and Asian options. Quantative finance, 6 (4). pp. 337-347. ISSN 1469-7696
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Abstract
Although the square-root process has long been used as an alternative to the Black-Scholes geometric Brownian motion model for option valuation, the pricing of Asian options on this diffusion model has never been studied analytically. However, the additivity property of the square-root process makes it a very suitable model for the analysis of Asian options. In this paper, we develop explicit prices for digital and regular Asian options. We also obtain distributional results concerning the square-root process and its average over time, including analytic formulae for their joint density and moments. We also show that the distribution is actually determined by those moments.
| Item Type: | Article |
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| Official URL: | http://www.tandf.co.uk/journals/rquf |
| Additional Information: | © 2007 Taylor & Francis |
| Library of Congress subject classification: | H Social Sciences > HG Finance Q Science > QA Mathematics H Social Sciences > HA Statistics |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/2851/ |
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