Estimation of Ask and Bid Prices for Geometric Asian Options
Joint Authors
Xiang, Kaili
Chen, Tao
Luo, Xuemei
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-03-13
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Traditional derivative pricing theories usually focus on the risk-neutral price or the equilibrium price.
However, in highly competitive financial markets, we observed two prices which are called bid and ask prices; then the unique risk-neutral price fails to hold.
In this paper, within the framework of conic finance, we provide a useful approach to evaluate the ask and bid prices of geometric Asian options and obtain the explicit formulas for the ask and bid prices.
Finally, numerical examples show that the higher the market liquidity parameter γ, the wider the spread and hence the less the liquidity.
American Psychological Association (APA)
Chen, Tao& Xiang, Kaili& Luo, Xuemei. 2019. Estimation of Ask and Bid Prices for Geometric Asian Options. Discrete Dynamics in Nature and Society،Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1146453
Modern Language Association (MLA)
Chen, Tao…[et al.]. Estimation of Ask and Bid Prices for Geometric Asian Options. Discrete Dynamics in Nature and Society No. 2019 (2019), pp.1-9.
https://search.emarefa.net/detail/BIM-1146453
American Medical Association (AMA)
Chen, Tao& Xiang, Kaili& Luo, Xuemei. Estimation of Ask and Bid Prices for Geometric Asian Options. Discrete Dynamics in Nature and Society. 2019. Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1146453
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1146453