Arithmetic average options in the hyperbolic model
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| 024 | 7 | 0 | |a 10.1515/156939603322728996 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.1515/156939603322728996 | ||
| 245 | 0 | 0 | |a Arithmetic average options in the hyperbolic model |h [Elektronische Daten] |c [Gerhard Larcher, Martin Predota, Robert F. Tichy] |
| 520 | 3 | |a In this paper, we present a strategy for pricing discrete Asian options, i.e. for options whose payoff depends on the average price of the underlying asset where the average is extended over a fixed period up to the maturity date. Following a recent development in Mathematical Finance (cf. Eberlein, E., Keller, U. and Prause, K. (1998) New insights into smile, mispricing and value at risk: the hyperbolic model, Journal of Business, 71, 371-405), we assume that the log returns of the asset are hyperbolically distributed. | |
| 540 | |a Copyright 2003, Walter de Gruyter | ||
| 690 | 7 | |a Asian option |2 nationallicence | |
| 690 | 7 | |a hyperbolic distribution |2 nationallicence | |
| 690 | 7 | |a Quasi-Monte Carlo methods |2 nationallicence | |
| 690 | 7 | |a Esscher transform |2 nationallicence | |
| 700 | 1 | |a Larcher |D Gerhard |u Department of Financial Mathematics, Johannes Kepler University, Linz, Altenbergerstr. 69, 4040 Linz, Austria. |4 aut | |
| 700 | 1 | |a Predota |D Martin |u Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at |4 aut | |
| 700 | 1 | |a Tichy |D Robert F. |u Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at |4 aut | |
| 773 | 0 | |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 9/3(2003-09-01), 227-239 |x 0929-9629 |q 9:3<227 |1 2003 |2 9 |o mcma | |
| 856 | 4 | 0 | |u https://doi.org/10.1515/156939603322728996 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1515/156939603322728996 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Larcher |D Gerhard |u Department of Financial Mathematics, Johannes Kepler University, Linz, Altenbergerstr. 69, 4040 Linz, Austria |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Predota |D Martin |u Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Tichy |D Robert F. |u Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 9/3(2003-09-01), 227-239 |x 0929-9629 |q 9:3<227 |1 2003 |2 9 |o mcma | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||