Asymptotic behavior of prices of path dependent options

Details Asymptotic behavior of prices of path dependent options Asymptotic behavior of prices of path dependent options

2009-11-30

arxiv.org/abs/0911.5579v1

Economy

Quantitative Finance

Pricing of Securities

16 pages

Scientific paper

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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