Analytic approximation formulae for pricing forward-starting Asian options

Article Abstract:

New analytic approximation formulae were derived for valuing forward-starting Asian options by adding the second-order term in the Taylor series. The formulae can value forward-starting Asian options with a large underlying asset's volatility or a longer time window for the average of the underlying asset prices.

Asia, Financial analysis

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Distributions implied by American currency futures options: a ghost's smile?

Article Abstract:

Risk-neutral distributions are attractive for market, academic and central bank economists, as it summarizes much of the available information associated with market prices. For estimating risk-neutral distribution, threefold results are presented.

Financial markets, Dollar (United States)

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Richardson extrapolation techniques for the pricing of American-style options

Article Abstract:

The utility of Richardson extrapolation techniques to evaluate derivatives on the American options exchanges is discussed.

Usage, Evaluation, Derivatives (Financial instruments), Statistical methods

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