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 ...
Thank You You can find more details at https://finpricing.com/lib/EqWarrant.html ...
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 ...
«
1
2
»
Free download pdf