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Geometric Asian option: Geometric Ornstein-Uhlenbeck process
Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the life of the options. The Asian options are very popular among the market participants when dealing with thinly traded commodities because the ave...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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| _version_ | 1867613199096872960 |
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| access_status_str | Open Access |
| author | Zhou, Sen Lin |
| author2 | Mataramvura, Sure |
| author_browse | Mataramvura, Sure Zhou, Sen Lin |
| author_facet | Mataramvura, Sure Zhou, Sen Lin |
| author_sort | Zhou, Sen Lin |
| collection | Thesis |
| description | Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the life of the options. The Asian options are very popular among the market participants when dealing with thinly traded commodities because the average property of the Asian options makes it very difficult to manipulate the payoffs of the options. Another reason for the popularity of Asian options is that they are cheaper than the corresponding portfolio of standard options to hedge the same exposure. The pricing of Asian options has been the subject of continuous studies. In previous studies, Asian options have been priced based on the assumption that the underlying asset follows a geometric Brownian motion. This dissertation, however, assumes that the underlying asset follows a geometric Ornstein-Uhlenbeck process and provides an explicit formula for the geometric Asian options. The geometric Ornstein-Uhlenbeck process is more economically appropriate than the geometric Brownian motion for modelling commodity prices, exchange rates and interest rates due to its mean-reverting property. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/22062 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:20.328Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| 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:11427/22062 Geometric Asian option: Geometric Ornstein-Uhlenbeck process Zhou, Sen Lin Mataramvura, Sure Financial Mathematics Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the life of the options. The Asian options are very popular among the market participants when dealing with thinly traded commodities because the average property of the Asian options makes it very difficult to manipulate the payoffs of the options. Another reason for the popularity of Asian options is that they are cheaper than the corresponding portfolio of standard options to hedge the same exposure. The pricing of Asian options has been the subject of continuous studies. In previous studies, Asian options have been priced based on the assumption that the underlying asset follows a geometric Brownian motion. This dissertation, however, assumes that the underlying asset follows a geometric Ornstein-Uhlenbeck process and provides an explicit formula for the geometric Asian options. The geometric Ornstein-Uhlenbeck process is more economically appropriate than the geometric Brownian motion for modelling commodity prices, exchange rates and interest rates due to its mean-reverting property. 2016-10-03T08:42:16Z 2016-10-03T08:42:16Z 2013 Master Thesis Masters MPhil http://hdl.handle.net/11427/22062 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Mathematics Zhou, Sen Lin Geometric Asian option: Geometric Ornstein-Uhlenbeck process |
| thesis_degree_str | Master's |
| title | Geometric Asian option: Geometric Ornstein-Uhlenbeck process |
| title_full | Geometric Asian option: Geometric Ornstein-Uhlenbeck process |
| title_fullStr | Geometric Asian option: Geometric Ornstein-Uhlenbeck process |
| title_full_unstemmed | Geometric Asian option: Geometric Ornstein-Uhlenbeck process |
| title_short | Geometric Asian option: Geometric Ornstein-Uhlenbeck process |
| title_sort | geometric asian option geometric ornstein uhlenbeck process |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/22062 |
| work_keys_str_mv | AT zhousenlin geometricasianoptiongeometricornsteinuhlenbeckprocess |