The author is thankful to the Editor and an anonymous referee for many helpful remarks and suggestions. However, he retains the responsibility for any errors.
On approximating deep in-the-money Asian options under exponential Lévy processes†
Article first published online: 28 DEC 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 1, pages 75–91, January 2012
How to Cite
Tchuindjo, L. (2012), On approximating deep in-the-money Asian options under exponential Lévy processes. J. Fut. Mark., 32: 75–91. doi: 10.1002/fut.20505
- Issue published online: 4 NOV 2011
- Article first published online: 28 DEC 2010
- Manuscript Accepted: OCT 2010
- Manuscript Received: AUG 2009
This note proposes a new approach of valuing deep in-the-money fixed strike and discretely monitoring arithmetic Asian options. This new approach prices Asian options whose underlying asset price evolves according to the exponential of a Lévy process as a weighted sum of European options. Numerical results from experimenting on three different types of Lévy processes—a diffusion process, a jump diffusion process, and a pure jump process—illustrate the accuracy of the approach. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark