On the asymptotic behavior of the prices of Asian options期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

On the asymptotic behavior of the prices of Asian options

Authors:	Yuji?Hishida,Kenji?Yasutomi author-information" > author-information__contact u-icon-before" > mailto:yasutomi@se.ritsumei.ac.jp" title=" yasutomi@se.ritsumei.ac.jp" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author

Affiliation:	(1) Fixed Income Trading Department, Fixed Income Group, Mizuho Securities Co., Ltd., 1-5-1, Otemach, Chiyoda-ku, Tokyo 100-0004, Japan;(2) Department of Mathematical Sciences, Ritsumeikan University, 1-1-1 Nojihigashi, Kusatsu, Shiga 525-8577, Japan

Abstract:	In this paper, we study the price of a long term Asian option the pay-off of which is determined by the average price of the underlying asset during the last fixed number of days of its life. As one can imagine, it converges to the price of a plain vanilla option as the time to maturity increases. We explicitly obtained the asymptotic difference which will be useful for computing the price of Asian option in practice.

Keywords:	Asian option Asymptotic behavior
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