A P.D.E. approach to Asian options: analytical and numerical evidence
Article Abstract:
A partial differential equation approach characterized by a one-state-variable was used to study Asian option such as a "backward-starting fixed strike" option. The "effective" strike price of such an option is the difference between the fixed strike K and the given portion of the average. A numerical analysis showed that in the money Asian options have lesser elasticities than out of the money Asian options.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1997
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A note on the impact of options on stock return volatility
Article Abstract:
Te introduction of options on the return variance of underlying stocks are found to be have little or no significant effect on stock return variance. The study uses a more extensive sample to measure the impact of options introduction on return variance and finds that the average change in the control group is statistically indistinguishable from the return variance in the overall optioned stocks.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1998
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