caa a22 4500 378866923 CHVBK 20180305123400.0 cr unu---uuuuu 161128e20030901xx s 000 0 eng 10.1515/156939603322728996 doi (NATIONALLICENCE)gruyter-10.1515/156939603322728996 Arithmetic average options in the hyperbolic model [Elektronische Daten] [Gerhard Larcher, Martin Predota, Robert F. Tichy] 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. Copyright 2003, Walter de Gruyter Asian option nationallicence hyperbolic distribution nationallicence Quasi-Monte Carlo methods nationallicence Esscher transform nationallicence Larcher Gerhard Department of Financial Mathematics, Johannes Kepler University, Linz, Altenbergerstr. 69, 4040 Linz, Austria. aut Predota Martin Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at aut Tichy Robert F. Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at aut Monte Carlo Methods and Applications Walter de Gruyter 9/3(2003-09-01), 227-239 0929-9629 9:3<227 2003 9 mcma https://doi.org/10.1515/156939603322728996 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.1515/156939603322728996 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Larcher Gerhard Department of Financial Mathematics, Johannes Kepler University, Linz, Altenbergerstr. 69, 4040 Linz, Austria aut NATIONALLICENCE 700 1- Predota Martin Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at aut NATIONALLICENCE 700 1- Tichy Robert F. Department of Mathematics, A Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria. email: predota@finanz.math.TUGraz.at aut NATIONALLICENCE 773 0- Monte Carlo Methods and Applications Walter de Gruyter 9/3(2003-09-01), 227-239 0929-9629 9:3<227 2003 9 mcma CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter