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Transactions: WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS
Transactions ID Number: 53-379
Full Name: bin peng
Position: Assistant Professor
Age: ON
Sex: Female
Address: 105 room 108 building XueYuan Road No.37,HaiDian District,BeiJing,China
Country: CHINA
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E-mail address: pengbin01@hotmail.com
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Title of the Paper: Pricing Asian power options under jump− fraction process
Authors as they appear in the Paper: School of Business, Renmin University，Beijing，P. R. China
Email addresses of all the authors: pengbin01@hotmail.com, feip@ece.ubc.ca
Number of paper pages: 27
Abstract: A framework for pricing Asian power options is developed when the underlying asset follows a jump−fraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Ito lemma and self−financing dynamic strategy. With the boundary condition, an analytic formula for the option with geometric average starting at any time before maturity is derived by solving the PDE, and the option with arithmetic average is evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming numerical evidence indicates that the technique proposed is computationally efficient and dramatically improves the accuracy of the simulated price. Moreover, this study will pave a novel way to copy with the option contracts based on thinly-traded assets like oil, or currencies or interest rates
Keywords: Asian power option; geometric average; arithmetic average; jump−fraction process.
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How Did you learn about congress: financial economics
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