Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options

Xiankang Luo, Tao Chen and Tien Van Do

Discrete Dynamics in Nature and Society, 2021, vol. 2021, 1-11

Abstract: Conic finance is a new and exciting development in quantitative finance, which is widely applied to several topics in finance. The theory of conic finance extends the law of one price to the law of two prices, which yields closed forms for bid-ask prices of European options. In this paper, within the framework of conic finance, we derive effective, explicit, approximate formulas to estimate the bid-ask prices for the European discrete geometric average and arithmetic average Asian options. Finally, we give two examples to demonstrate and validate that the approximate closed-form solutions are efficient and accurate.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/ddns/2021/9979285.pdf (application/pdf)
http://downloads.hindawi.com/journals/ddns/2021/9979285.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:9979285

DOI: 10.1155/2021/9979285

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().