Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options | Zendy

Xiankang Luo | Zendy; Tao Chen | Zendy

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Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options

Author(s) -

Xiankang Luo,

Tao Chen

Publication year - 2021

Publication title -

discrete dynamics in nature and society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.264

H-Index - 39

eISSN - 1607-887X

pISSN - 1026-0226

DOI - 10.1155/2021/9979285

Subject(s) - conic section , ask price , bid price , estimation , geometric mean , mathematics , finance , mathematical economics , econometrics , economics , computer science , statistics , geometry , management

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.

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