第17回研究会

開催日：

2017年4月19日 (水)　18:00-18:50

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Prof. Alexander Novikov (University of Technology Sydney)

タイトル：

Pricing of Asian-type and Basket Options via Bounds

概要Abstract

This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket and options on the volume-weighted average price. The use of lower and upper bounds is proposed in response to the inherent difficulty in finding analytical representations for the true price of these options and the requirement for numerical procedures to be fast and efficient. We demonstrate that, in some cases lower bounds allow for the dimensionality of the problem to be reduced and that these methods provide reasonable approximations to the price of the option.