Pricing American and Asian Options
Pat Muldowney
TL;DR
This paper presents an analytic approach for American call options and an empirical method for Asian call options, based on advanced pricing theories, to improve option valuation accuracy.
Contribution
It introduces a novel analytic method for American options and an empirical approach for Asian options using modern pricing theory.
Findings
Analytic pricing method for American call options
Empirical pricing method for Asian call options
Based on Muldowney's 2012 pricing theory
Abstract
An analytic method for pricing American call options is provided; followed by an empirical method for pricing Asian call options. The methodology is the pricing theory presented in "A Modern Theory of Random Variation", by Patrick Muldowney, 2012.
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Taxonomy
TopicsStochastic processes and financial applications · Credit Risk and Financial Regulations · Financial Risk and Volatility Modeling