{"title":"几何伊斯坦布尔期权定价的封闭近似","authors":"Mohamed Amine Kacef, Kamal Boukhetala","doi":"10.1504/IJRM.2020.110631","DOIUrl":null,"url":null,"abstract":"The concept of Istanbul options were first introduced by Michel Jacques in 1997. These derivatives products are considered as an extension of the Asian options. In this paper, we propose an analytical approximation formula for a geometric Istanbul call option (GIC) under the standard Black-Scholes model. Our approximate pricing formula is obtained in closed-form using a second-order Taylor expansion. We compare our theoretical results with those of Monte Carlo simulations using the control variates method. We also carry out a comparative price study with an arithmetic Istanbul call option. Finally, we study the effects of changes in the price of the underlying asset on the value of GIC.","PeriodicalId":39519,"journal":{"name":"International Journal of Revenue Management","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A closed-form approximation for pricing geometric Istanbul options\",\"authors\":\"Mohamed Amine Kacef, Kamal Boukhetala\",\"doi\":\"10.1504/IJRM.2020.110631\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The concept of Istanbul options were first introduced by Michel Jacques in 1997. These derivatives products are considered as an extension of the Asian options. In this paper, we propose an analytical approximation formula for a geometric Istanbul call option (GIC) under the standard Black-Scholes model. Our approximate pricing formula is obtained in closed-form using a second-order Taylor expansion. We compare our theoretical results with those of Monte Carlo simulations using the control variates method. We also carry out a comparative price study with an arithmetic Istanbul call option. Finally, we study the effects of changes in the price of the underlying asset on the value of GIC.\",\"PeriodicalId\":39519,\"journal\":{\"name\":\"International Journal of Revenue Management\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-03-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Revenue Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1504/IJRM.2020.110631\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Revenue Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/IJRM.2020.110631","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
A closed-form approximation for pricing geometric Istanbul options
The concept of Istanbul options were first introduced by Michel Jacques in 1997. These derivatives products are considered as an extension of the Asian options. In this paper, we propose an analytical approximation formula for a geometric Istanbul call option (GIC) under the standard Black-Scholes model. Our approximate pricing formula is obtained in closed-form using a second-order Taylor expansion. We compare our theoretical results with those of Monte Carlo simulations using the control variates method. We also carry out a comparative price study with an arithmetic Istanbul call option. Finally, we study the effects of changes in the price of the underlying asset on the value of GIC.
期刊介绍：
The IJRM is an interdisciplinary and refereed journal that provides authoritative sources of reference and an international forum in the field of revenue management. IJRM publishes well-written and academically rigorous manuscripts. Both theoretic development and applied research are welcome.
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