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A Study of Asian Chooser Options in a General Two-Period Binomial Model
- 1 Faculty of Natural, Mathematical & Engineering Sciences, King’s College London, Strand, London, WC2R 2LS, UK
- 2 Hangzhou New Channel Agency, Hangzhou, 310005, China
- 3 International Education College. Shanghai University of Finance and Economics, Shanghai, 200433, China
* Author to whom correspondence should be addressed.
Abstract
Asian options are also known as average price options, and their strike price is the average price of the stock in the market half a day before the strike. Binomial model is a good model to identify the value of options, The paper develops the theory of Asian chooser options in the two-period binomial model. There are Asian call options, and Asian put options. We first derive the binomial model of the Asian option and get the portfolio function. After that, we get the number of bond and stock, Nb and Ns. We study the problem via five different cases in the two-period Binomial model. In these five cases, we choose the maximum value between Asian put and call options. Then, we decide whether they are call options or put options. Then, we calculate the number of portfolios in these five cases in the two-period binomial model. Finally, we implemented the whole project with Python.
Keywords
Asian options, two-period binomial model, stock
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Cite this article
Sun,Y.;Zhang,Y.;Jiang,Z. (2024). A Study of Asian Chooser Options in a General Two-Period Binomial Model. Advances in Economics, Management and Political Sciences,97,55-62.
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Volume title: Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
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