利用沃斯特近似对亚洲期权进行估值

ERN: Asia & Pacific (Emerging Markets) (Topic) Pub Date : 2003-11-01 DOI:10.2139/SSRN.2198401

A. Kotzé

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引用次数: 0

摘要

亚洲期权是一种基于标的资产平均价格的期权。一般来说，亚洲期权是一种期权，其收益取决于在期权有效期内预先指定时期内标的资产的平均价格和预先指定的观察频率。我们实现了Vorst的方法来评估这些选项，并给出了Delta和Gamma的相关公式。我们还列出了一些伪VBA代码。

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Valuing Asian Options Using Vorst's Approximation

Asian options are options based on some average of the underlying asset price. Generally, an Asian option is an option whose payoff depends on the average price of the underlying asset during a pre-specified period within the option’s lifetime, and a pre-specified observation frequency. We implement Vorst’s method in valuing these options and give the relevant formulas for the Delta and Gamma. We also list some pseudo VBA code.

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来源期刊

ERN: Asia & Pacific (Emerging Markets) (Topic)

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