EqAsian-2

Equity Asian Option Valuation Practical Guide FinPricing ...

Summary ▪ Asian Equity Option Introduction ▪ The Use of Asian Equity Options ▪ Valuation ▪ Practical Guide ▪ A Real World Exampl ...

Asian Option Introduction ▪ AnAsian optionoraverage option is a special type of option contract where the payoff depends on the ...

The Use of Asian Options ▪ One advantage of Asian options is that they reduce the risk of market manipulationof the underlying i ...

Valuation ▪ The payoff of an average price call is max(0, Savg-K) and that of an average price put is max(0, K-Savg), where Savg ...

Valuation (Cont) ▪ Onecalculates the first two moments of the probability distribution of the arithmetic average in a risk-neutr ...

Valuation (Cont) ▪ By assuming that the average asset price is lognormal, an analyst can use Black's model. ▪ The present value ...

Valuation (Cont) ▪ The present value of an Asian put option is given by 푃푉푃 = 퐾푁 −푑 2 −퐹 0 푁 −푑 1 퐷 ▪ We can modify the analysis ...

Valuation (Cont) ▪ The payoff from an average price call is 푚푎푥 푆ҧ푇 1 +푆푎푣푔푇 2 푇 1 +푇 2 −퐾, 0 where Savg the average asset price ...

Valuation (Cont) ▪ When K > 0, the option can be valued in the same way as a newly issued Asian option provided that we chang ...

American Equity Option Practical Guide ▪ First calculate the spent average based on realized spot price. ▪ Then compute the adju ...

American Equity Option A Real World Example Face Value 3361. Currency CAD Start Date 1/10/ Maturity Date 7/10/ Call or Put Call ...

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Equity Asian Option Valuation Practical Guide FinPricing ...

Summary ▪ Asian Equity Option Introduction ▪ The Use of Asian Equity Options ▪ Valuation ▪ Practical Guide ▪ A Real World Exampl ...

Asian Option Introduction ▪ AnAsian optionoraverage option is a special type of option contract where the payoff depends on the ...

The Use of Asian Options ▪ One advantage of Asian options is that they reduce the risk of market manipulationof the underlying i ...

Valuation ▪ The payoff of an average price call is max(0, Savg-K) and that of an average price put is max(0, K-Savg), where Savg ...

Valuation (Cont) ▪ Onecalculates the first two moments of the probability distribution of the arithmetic average in a risk-neutr ...

Valuation (Cont) ▪ By assuming that the average asset price is lognormal, an analyst can use Black's model. ▪ The present value ...