The Vyncke et al. solution for pricing European-style arithmetic Asian options

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dc.contributor.advisorWest, Graemeen_ZA
dc.contributor.authorFloor, Justin Daviden_ZA
dc.date.accessioned2015-02-04T19:15:39Z
dc.date.available2015-02-04T19:15:39Z
dc.date.issued2010en_ZA
dc.descriptionIncludes bibliographical references (leaves 29-31).en_ZA
dc.description.abstractThis paper investigates the European-style arithmetic Asian option pricing solution of Vyncke, Dhaene, and Goovaerts (2004) who apply the concept of comonotonicity to obtain upper and lower bounds for the true option price. A moment-matching formula is used to and a weighted average solution of the two bounds, thereby obtaining a fast approximation to the true price. This method is implemented and tested against an accurate Monte Carlo benchmark and compared with some other well-known closed-form approximations. Although a summary of some of the theoretical aspects underpinning the solution is provided to build intuitive understanding, the focus of the paper lies instead in the empirical analysis. The Vyncke et al. solution is found to be very accurate across a range of input parameters and out-performs competing solutions in some important cases, most notably high volatility and long maturities.en_ZA
dc.identifier.apacitationFloor, J. D. (2010). <i>The Vyncke et al. solution for pricing European-style arithmetic Asian options</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/12379en_ZA
dc.identifier.chicagocitationFloor, Justin David. <i>"The Vyncke et al. solution for pricing European-style arithmetic Asian options."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010. http://hdl.handle.net/11427/12379en_ZA
dc.identifier.citationFloor, J. 2010. The Vyncke et al. solution for pricing European-style arithmetic Asian options. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Floor, Justin David AB - This paper investigates the European-style arithmetic Asian option pricing solution of Vyncke, Dhaene, and Goovaerts (2004) who apply the concept of comonotonicity to obtain upper and lower bounds for the true option price. A moment-matching formula is used to and a weighted average solution of the two bounds, thereby obtaining a fast approximation to the true price. This method is implemented and tested against an accurate Monte Carlo benchmark and compared with some other well-known closed-form approximations. Although a summary of some of the theoretical aspects underpinning the solution is provided to build intuitive understanding, the focus of the paper lies instead in the empirical analysis. The Vyncke et al. solution is found to be very accurate across a range of input parameters and out-performs competing solutions in some important cases, most notably high volatility and long maturities. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - The Vyncke et al. solution for pricing European-style arithmetic Asian options TI - The Vyncke et al. solution for pricing European-style arithmetic Asian options UR - http://hdl.handle.net/11427/12379 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12379
dc.identifier.vancouvercitationFloor JD. The Vyncke et al. solution for pricing European-style arithmetic Asian options. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12379en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleThe Vyncke et al. solution for pricing European-style arithmetic Asian optionsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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