Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
The Vyncke et al. solution for pricing European-style arithmetic Asian options
Includes bibliographical references (leaves 29-31).
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613257291792384 |
|---|---|
| access_status_str | Open Access |
| author | Floor, Justin David |
| author2 | West, Graeme |
| author_browse | Floor, Justin David West, Graeme |
| author_facet | West, Graeme Floor, Justin David |
| author_sort | Floor, Justin David |
| collection | Thesis |
| description | Includes bibliographical references (leaves 29-31). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12379 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:15.376Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12379 The Vyncke et al. solution for pricing European-style arithmetic Asian options Floor, Justin David West, Graeme Mathematical Finance Includes bibliographical references (leaves 29-31). This paper investigates the European-style arithmetic Asian option pricing solution of Vyncke, Dhaene, and Goovaerts (2004) who apply the concept of comonotonicity to obtain upper and lower bounds for the true option price. A moment-matching formula is used to and a weighted average solution of the two bounds, thereby obtaining a fast approximation to the true price. This method is implemented and tested against an accurate Monte Carlo benchmark and compared with some other well-known closed-form approximations. Although a summary of some of the theoretical aspects underpinning the solution is provided to build intuitive understanding, the focus of the paper lies instead in the empirical analysis. The Vyncke et al. solution is found to be very accurate across a range of input parameters and out-performs competing solutions in some important cases, most notably high volatility and long maturities. 2015-02-04T19:15:39Z 2015-02-04T19:15:39Z 2010 Master Thesis Masters MPhil http://hdl.handle.net/11427/12379 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Floor, Justin David The Vyncke et al. solution for pricing European-style arithmetic Asian options |
| thesis_degree_str | Master's |
| title | The Vyncke et al. solution for pricing European-style arithmetic Asian options |
| title_full | The Vyncke et al. solution for pricing European-style arithmetic Asian options |
| title_fullStr | The Vyncke et al. solution for pricing European-style arithmetic Asian options |
| title_full_unstemmed | The Vyncke et al. solution for pricing European-style arithmetic Asian options |
| title_short | The Vyncke et al. solution for pricing European-style arithmetic Asian options |
| title_sort | vyncke et al solution for pricing european style arithmetic asian options |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/12379 |
| work_keys_str_mv | AT floorjustindavid thevynckeetalsolutionforpricingeuropeanstylearithmeticasianoptions AT floorjustindavid vynckeetalsolutionforpricingeuropeanstylearithmeticasianoptions |