[Forum SIS] [Seminario] Exact Asian Option Pricing, Diethelm Wuertz (ETHZ)

[stefano iacus]

Il giorno 12 marzo 2010, ore 8:45-10:15, Aula 20, Via Conservatorio 7, Milano

il prof. Diethelm Wuertz 
Head of Data Analysis / Solid State Physics group a 
ETH Zürich (Swiss Federal Institute of Technology) di Zurigo. 

fondatore e promotore del progetto Rmetrics:   http://www.rmetrics.org/ 
terrà il seguente seminario organizzato dal Dipartimento di Scienze Economiche, Aziendali e Statistiche

"Exact Asian Option Pricing"

Abstract:
Asian options are path dependent options, extremely useful in the financial industry. They can be used to hedge a thinly traded asset over a certain period of time cheaper compared to plain vanilla options, and they can be used effectively to protect against price manipulations by either contract party on the maturity date. Unfortunately, pricing an arithmetic Asian option is difficult because of the intractability of the arithmetic average of the log-Normal process. This problem is just on the edge of solvability by analytic methods.
In this talk we present, discuss and compare several numerical methods to valuate Asian options.
The range of numerical methods includes option pricing formulas based on traditional density approaches, on partial differential equation approaches, on Laplace inversion methods and on spectral expansion methods. In addition we show how to compute bounds on Asian options.
All numerical approaches are implemented as S functions in the open source statistical R software environment, so that the practitioner gets a powerful suite of option calculators in his hand which allows him to valuate Asian options by 'exact' methods.
 


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Stefano M. Iacus
Department of Economics,
Business and Statistics
University of Milan
Via Conservatorio, 7
I-20123 Milan - Italy
Ph.: +39 02 50321 461
Fax: +39 02 50321 505
http://www.economia.unimi.it/iacus
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