Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
Series Vol. 97 , 02 July 2024
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A Study of Asian Chooser Options in a General Two-Period Binomial Model
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Abstract
Asian options are also known as average price options, and their strike price is the average price of the stock in the market half a day before the strike. Binomial model is a good model to identify the value of options, The paper develops the theory of Asian chooser options in the two-period binomial model. There are Asian call options, and Asian put options. We first derive the binomial model of the Asian option and get the portfolio function. After that, we get the number of bond and stock, Nb and Ns. We study the problem via five different cases in the two-period Binomial model. In these five cases, we choose the maximum value between Asian put and call options. Then, we decide whether they are call options or put options. Then, we calculate the number of portfolios in these five cases in the two-period binomial model. Finally, we implemented the whole project with Python.
Keywords
Asian options, two-period binomial model, stock
References
1. Lu S. From binomial option pricing model to Black-Sholes option pricing model[M]. Lamar University-Beaumont, 2011.
2. Vecer J. A new PDE approach for pricing arithmetic average Asian options[J]. Journal of computational finance, 2001, 4(4): 105-113.
3. Levendorskii, S. Z., & Xie, J.. (2012). Pricing of discretely sampled Asian options under levy processes. SSRN Electronic Journal.
4. Alziary B, Décamps J P, Koehl P F. A PDE approach to Asian options: analytical and numerical evidence[J]. Journal of Banking & Finance, 1997, 21(5): 613-640.
5. Vorst, T., Kemna, A. G. Z., & Vorst, A. C. F. (1990). A pricing method for options based on average asset values. Journal of Banking & Finance, 14(1), 113-129.
Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
- ISBN (Print)
- 978-1-83558-505-4
- ISBN (Online)
- 978-1-83558-506-1
- Published Date
- 02 July 2024
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/97/20231581
- Copyright
- 02 July 2024
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited