Asian Options: Inverse Laplace Transforms and Martingale Methods Revisited

Arithmetic Asian options are difficult to price and hedge, since, at the present, no closed-form analytical solution exists to price them. This difficulty, moreover, has led to the development of various methods and models used to price these instruments. The purpose of this thesis is two-fold. First, we present an overview of the literature. Secondly, we develop a pseudo-analytical method proposed by Geman and Yor and present an accurate and relatively quick algorithm which can be used to price European-style arithmetic Asian options and their hedge parameters.

Name thesis:degree_name

Master of Science

Level thesis:degree_level

masters

Discipline thesis:degree_discipline

Mathematics

Department dc:contributor.department

Mathematics

Grantor dc:publisher

Virginia Tech

Year dc:date.issued

1999

Author dc:creator

• Sudler, Glenn F.

Chair dc:contributor.committeechair

• Rogers, Robert C.

Committee members dc:contributor.committeemember

• Day, Martin V.
• Chance, Donald M.

• Hedging
• Martingale Methods
• Valuation
• Laplace Transforms
• Asian Options

Statement dc:rights

• In Copyright

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Dc Identifier Other

etd-080199-202859

OAI identifier oai:identifier

oai:vtechworks.lib.vt.edu:10919/34300