Resolution - the authority on derivative pricing Resolution - specialising in providing pricing and risk analytics for financial securities
  HOME    PRODUCTS    SOFTWARE TRIAL    PURCHASE    BLOG    ABOUT US    SITEMAP   
 

Blog

  
  

Asian options where first traded in 1987 by Bankers Trust's Tokyo office. This has lead to them being called "Asian" options. Asian options are now especially poplar in the currency and commodity products which have low trading volumes.

An Asian option has its payoff linked to the average price of an asset over a period of time. Due to this Asian options have a lower volatility, rendering them cheaper relative to their European counterparts.

Though there are no known closed form analytical solutions for arithmetic Asian options. Resolution supports three methods for approximating their value:

  • Curran: Calculates the value of a discretely-monitored arithmetic average-rate option using Curran's (1992) approximation.
  • Levy: Calculates an option value for an arithmetic average-rate option using Levy's (1992) approximation.
  • Turnbull-Wakeman: Calculates an option value for an arithmetic average-rate option using the Turnbull-Wakeman (1991) approximation.
For an example of an Asian option pricing please see: Asian Options Explained.

 

Purchase

For more information see our pricing plans.

 

Free Trial

ResolutionPro is a derivative pricing library which supports the valuation, risk management and hedge accounting of derivatives & other financial instruments.

You can try ResolutionPro right now on a free trial basis.

Trial Resolution

Most Popular Posts

Resolution
 
   Home | Privacy | Search | Site Map | Top