Estimation of Ask and Bid Prices for Geometric Asian Options
Traditional derivative pricing theories usually focus on the risk-neutral price or the equilibrium price. However, in highly competitive financial markets, we observed two prices which are called bid and ask prices; then the unique risk-neutral price fails to hold. In this paper, within the framewor...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2019/6276250 |
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| _version_ | 1832561859138420736 |
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| author | Tao Chen Kaili Xiang Xuemei Luo |
| author_facet | Tao Chen Kaili Xiang Xuemei Luo |
| author_sort | Tao Chen |
| collection | DOAJ |
| description | Traditional derivative pricing theories usually focus on the risk-neutral price or the equilibrium price. However, in highly competitive financial markets, we observed two prices which are called bid and ask prices; then the unique risk-neutral price fails to hold. In this paper, within the framework of conic finance, we provide a useful approach to evaluate the ask and bid prices of geometric Asian options and obtain the explicit formulas for the ask and bid prices. Finally, numerical examples show that the higher the market liquidity parameter γ, the wider the spread and hence the less the liquidity. |
| format | Article |
| id | doaj-art-92b2145c360e446ea4d4853075eda6e4 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-92b2145c360e446ea4d4853075eda6e42025-02-03T01:23:59ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2019-01-01201910.1155/2019/62762506276250Estimation of Ask and Bid Prices for Geometric Asian OptionsTao Chen0Kaili Xiang1Xuemei Luo2School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074, ChinaSchool of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074, ChinaSchool of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074, ChinaTraditional derivative pricing theories usually focus on the risk-neutral price or the equilibrium price. However, in highly competitive financial markets, we observed two prices which are called bid and ask prices; then the unique risk-neutral price fails to hold. In this paper, within the framework of conic finance, we provide a useful approach to evaluate the ask and bid prices of geometric Asian options and obtain the explicit formulas for the ask and bid prices. Finally, numerical examples show that the higher the market liquidity parameter γ, the wider the spread and hence the less the liquidity.http://dx.doi.org/10.1155/2019/6276250 |
| spellingShingle | Tao Chen Kaili Xiang Xuemei Luo Estimation of Ask and Bid Prices for Geometric Asian Options Discrete Dynamics in Nature and Society |
| title | Estimation of Ask and Bid Prices for Geometric Asian Options |
| title_full | Estimation of Ask and Bid Prices for Geometric Asian Options |
| title_fullStr | Estimation of Ask and Bid Prices for Geometric Asian Options |
| title_full_unstemmed | Estimation of Ask and Bid Prices for Geometric Asian Options |
| title_short | Estimation of Ask and Bid Prices for Geometric Asian Options |
| title_sort | estimation of ask and bid prices for geometric asian options |
| url | http://dx.doi.org/10.1155/2019/6276250 |
| work_keys_str_mv | AT taochen estimationofaskandbidpricesforgeometricasianoptions AT kailixiang estimationofaskandbidpricesforgeometricasianoptions AT xuemeiluo estimationofaskandbidpricesforgeometricasianoptions |