Asymptotic behavior of prices of path dependent options

2009/11/30 by Yuji Hishida, Hishida, Yuji, Kenji Yasutomi +1
Economics, Econometrics and Finance · Social Sciences · #Computational Finance (q-fin.CP) #Economic theories and models #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications #q-fin.CP #q-fin.PR

paper · pdf · doi:10.48550/arxiv.0911.5579

16 pages

arxiv created 2009/11/30 · openalex publication_date 2009/11/30 · arxiv updated 2009/12/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain vanillas. We give some examples whose underlying assets behave as some popular Levy processes. Moreover, we give some payoffs and functions used to approximate them.

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