Valuing Asian Options Using Vorst's Approximation

9 Pages Posted: 9 Jan 2013

See all articles by Antonie Kotze

Antonie Kotze

Financial Chaos Theory; Department of Finance and Investment Management

Date Written: November 1, 2003

Abstract

Asian options are options based on some average of the underlying asset price. Generally, an Asian option is an option whose payoff depends on the average price of the underlying asset during a pre-specified period within the option’s lifetime, and a pre-specified observation frequency. We implement Vorst’s method in valuing these options and give the relevant formulas for the Delta and Gamma. We also list some pseudo VBA code.

Keywords: Vorst, Asian option, average option, discrete, fixed strike

JEL Classification: G12, G13

Suggested Citation

Kotze, Antonie, Valuing Asian Options Using Vorst's Approximation (November 1, 2003). Available at SSRN: https://ssrn.com/abstract=2198401 or http://dx.doi.org/10.2139/ssrn.2198401

Antonie Kotze (Contact Author)

Financial Chaos Theory ( email )

PO Box 16185
Doornfontein, 2028
South Africa

HOME PAGE: http://www.quantonline.co.za/

Department of Finance and Investment Management ( email )

PO Box 524
Auckland Park
Johannesburg, Gauteng 2006
South Africa

HOME PAGE: http://www.uj.ac.za

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