The Mathematical Institute, University of Oxford, Eprints Archive

Asymptotic Approximations for Asian Options with Discrete Sampling Using Multiple Scale Approach

Chen, Shiqi (2015) Asymptotic Approximations for Asian Options with Discrete Sampling Using Multiple Scale Approach. Masters thesis, oxford university.

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Abstract

We develop asymptotic approximations to Asian arithmetic average-strike options with discrete averages using the method of multiple scales. A review of applying this approach to European options with discrete dividend payments by Howison [8] will be presented. As an extension, a higher order correction term will be calculated. A detailed demonstration of using this approach for Asian options with discrete sampling will be followed, through which we can obtain the continuous counterpart as a leading order term and derive the first-order `continuity correction' term. For both cases, extensive comparison of asymptotic approximations with numerical solutions of the full problem will be provided.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1899
Deposited By: Laura Auger
Deposited On:08 Sep 2015 06:42
Last Modified:08 Sep 2015 06:42

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