Pricing and hedging quanto forward-starting floating-strike asian options

Chuang Chang Chang, Tzu Hsiang Liao, Chueh Yung Tsao

研究成果: 雜誌貢獻期刊論文同行評審

3 引文 斯高帕斯(Scopus)

摘要

This article derives analytic approximation formulae for valuing various types of quanto forward-starting floating-strike Asian options, which are actively traded in over-the-counter markets. There are two advantages of using these analytic approximation formulae in this context. First, one can efficiently and accurately price quanto forward-starting floatingstrike Asian options compared with a Monte Carlo simulation approach. Second, one can easily derive the Greeks of quanto forward-starting floating-strike Asian options, which is especially important for practitioners who want to hedge their risks for issuing such options. The simulation results demonstrate that pricing errors using the analytic approximation formulae are less than 1%, compared with Monte Carlo simulation values. This study contributes to extant literature by providing an efficient and accurate method to price and hedge quanto forwardstarting floating-strike Asian options.

原文???core.languages.en_GB???
頁(從 - 到)37-53
頁數17
期刊Journal of Derivatives
18
發行號4
DOIs
出版狀態已出版 - 6月 2011

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