Date of Award

5-2013

Degree Type

Report

Degree Name

Master of Science (MS)

Department

Economics and Finance

Committee

Not specified

Abstract

This paper will mainly focus on a path-dependent option—Asian options. The value of a path-dependent option is affected by how the price of the underlying asset was reached at the time of maturity. Unlike a vanilla European option, the pay-off of an Asian option is a function of multiple points up to and including the price at expiry. Asian options are some of the most common exotic options traded. As P. Wilmott (2006) and E. G. Haug (2007) both point out, Asian options are popular in the OTC energy markets and in other commodity markets lacking liquidity. [9]

Included in

Finance Commons

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