Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options
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 th...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/9979285 |
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| _version_ | 1832556521156771840 |
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| author | Xiankang Luo Tao Chen |
| author_facet | Xiankang Luo Tao Chen |
| author_sort | Xiankang Luo |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-98d98b65d554485ab48f312d461e576a |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-98d98b65d554485ab48f312d461e576a2025-02-03T05:45:11ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2021-01-01202110.1155/2021/99792859979285Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian OptionsXiankang Luo0Tao Chen1Faculty of Science Yibin University, Yibin 644000, ChinaFaculty of Science Yibin University, Yibin 644000, ChinaConic 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.http://dx.doi.org/10.1155/2021/9979285 |
| spellingShingle | Xiankang Luo Tao Chen Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options Discrete Dynamics in Nature and Society |
| title | Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options |
| title_full | Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options |
| title_fullStr | Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options |
| title_full_unstemmed | Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options |
| title_short | Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options |
| title_sort | estimation of the bid ask prices for the european discrete geometric average and arithmetic average asian options |
| url | http://dx.doi.org/10.1155/2021/9979285 |
| work_keys_str_mv | AT xiankangluo estimationofthebidaskpricesfortheeuropeandiscretegeometricaverageandarithmeticaverageasianoptions AT taochen estimationofthebidaskpricesfortheeuropeandiscretegeometricaverageandarithmeticaverageasianoptions |