Asian option volatility

Our results are close to that of Zvan et al. The execution time is much less than theirs. Options are a risky game, but you can learn speculators' tricks to use them to your advantage. For example, traditional binomial lattice methods require such enormous amounts of computer memory for the necessity of keeping track of every possible path throughout the tree that they are effectively unusable. This type of uncertainty is initially studied by Avellaneda et al. By this valuation mechanism, we have Here we assume the riskless interest rate is. By using this site, you agree to the Terms of Use and Privacy Policy.

Questions Tags Users Badges Unanswered. Geometric Asian options, though not used in practice, are useful because of they offer nice analytic properties and they often form the basis of a good initial guess for the price of an arithmetic Asian option. For Asian options the payoff is determined by the average underlying price over some pre-set period of time. Concerning the 2nd point: