-
Pricing Asian Option on a Basket of Averages
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Options (Finance), Derivative securities, Options (Finance)--Valuation
- Item Type:
- Report
- Tag(s):
- Asian option, commodity derivatives, average basket
- Permanent URL:
- https://doi.org/10.17613/fjq8-aw27
- Abstract:
- We present a model for pricing an exotic swap where one party receives a fixed amount and makes a series of variable payments at the end of each pre-defined calculation period. The variable payments can be modeled as Asian put option payoffs on the weighted sum of two respective commodity basket levels. Furthermore, each basket level consists of a weighted sum of the respective commodity prices.
- Notes:
- https://vixra.org/pdf/2208.0126v1.pdf https://vixra.org/abs/2208.0126
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- All-Rights-Granted
- Share this:
An online community for ASEEES members
averageasian.pdf