Δίκαιη αξία ασιατικών δικαιωμάτων προαίρεσης
Asian option pricing
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Keywords
Ασιατικά δικαιώματα προαίρεσης ; Δικαιώματα προαίρεσης ; Δίκαιη αξία δικαιωμάτων προαίρεσηςAbstract
Asian options are financial instruments that were introduced to the markets three
decades ago, partly to discourage the possibility of market manipulation, for example through
an artificial sharp change in the price of the underlying asset at the time of exercise to render
the option profitable. In Asian options such manipulation is less feasible because their strike
price is not predetermined, instead it is expressed as the arithmetic or geometric average of the
underlying asset’s price throughout its duration. In addition to this advantage, these options are
typically significantly cheaper than standard (plain vanilla) options. A disadvantage, however,
is that determining their fair value is considerably more complex. The primary objective of this
MSc thesis is to review various methods for determining the fair value of European-style Asian
options with a fixed strike price (analytical, arithmetic, and via simulation) under the classic
Black, Scholes and Merton model, assuming that the evolution of the underlying asset’s value
follows a Geometric Brownian Motion. The R programming language was used to calculate
the fair value through these various techniques.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
109Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα