Orateur
Prof.
Masaaki Kijima
(Tokyo Metropolitan University)
Description
This paper proposes a unified approximation method for various options whose payoffs depend on the volume weighted average price (VWAP). Despite their popularity in practice, quite few pricing models have been developed in the literature. Also, in previous works, the underlying asset process has been restricted to a geometric Brownian motion. In contrast, our method is applicable to the general class of continuous Markov processes such as local volatility models, stochastic volatility models, and their combinations. Moreover, our method can be used for any type of VWAP options with fixed-strike, floating-strike, continuously sampled, discretely sampled, forward-start, and in-progress transactions. (joint work with H. Funahashi)
Auteur principal
Prof.
Masaaki Kijima
(Tokyo Metropolitan University)
