Język Polski
English
Published
:
2010-08-30
The Delta Parameter of the Flexible Asian Options in the Risk Analysis
Ewa Dziawgo
Abstract
Asian Option are path-dependent options whose pay-off depends on the average price of the underlying asset during the option's maturity date. Flexible Asian Options are modification Asian Option: based on weighted averages of the underlying asset prices. The aim of the paper is to present the analysis the value delta parameter of the flexible Asian options. The article presents the issues connected with flexible Asian Options: characteristic of instruments, the influence of selected factors on the value of the delta parameter and the analysis the value of the delta parameter for the standard and flexible Asian options. The empirical illustration included in the article are concerned with the pricing simulations of the currency standard and flexible Asian option on EUR/PLN.(original abstract)Keywords:
Risk analysis, Exotic optionsDetails
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Citation rules
Dziawgo, E. (2010). The Delta Parameter of the Flexible Asian Options in the Risk Analysis. Zeszyty Naukowe Wyższej Szkoły Bankowej W Poznaniu, 29(29). Retrieved from https://journals.wsb.poznan.pl/index.php/znwsb/article/view/1582