The advantage of harmonic Asian options and an approximation approach

Authors:
Xu Chen;Jianping Wan
Affiliations:
Huazhong University of Science & Technology, Department of Mathematics, Wuhan, P.R. China;Huazhong University of Science & Technology, Department of Mathematics, Wuhan, P.R. China
Venue:
ICIC'06 Proceedings of the 2006 international conference on Intelligent computing: Part II
Year:
2006

Citing 1
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On Asian option pricing for NIG Lévy processes

Journal of Computational and Applied Mathematics

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Abstract

We demonstrate that European Asian options with harmonic averaging behave better than Asian options with arithmetic and geometric averaging procedures under some situation. Approximation methods for the valuation of harmonic average options and numerical illustrations are also given.