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Asian Option Pricing with Orthogonal Polynomials
| Content Provider | Scilit |
|---|---|
| Author | Willems, Sander |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the series are fully explicit and no numerical integration nor any special functions are involved. We provide sufficient conditions to guarantee convergence of the series. We address the moment indeterminacy of the log-normal distribution and numerically investigate its impact on the asymptotic behavior of the series. |
| Related Links | http://arxiv.org/pdf/1802.01307 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3112144 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3112144 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-01-29 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Automotive Engineering Asian Option Option Pricing Orthogonal Polynomials |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
