Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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An Analysis of Optimized Asian Options

Authors
Kuijun Chen1, *, Yanni Lu2, Siyang Zhang3
1Jinan University-University of Birmingham Joint Institute, Jinan University, Guangzhou, 511436, China
2Division of Engineering Science, University of Toronto, Toronto, M5S 1A1, Canada
3School of Economics and Management, Tsinghua University, Beijing, 100084, China
*Corresponding author. Email: chenkuijun2019051807@stu2019.jnu.edu.cn
Corresponding Author
Kuijun Chen
Available Online 31 December 2022.
DOI
10.2991/978-94-6463-036-7_150How to use a DOI?
Keywords
A proposed option; The regular Asian option; Financial market; Payoff
ABSTRACT

Nowadays, the option is an indispensable financial tool in the current financial market. Moreover, the Asian option, as one of the most famous and widely used exotic options, plays a significant role in it. This paper aims to propose a new type of Asian option, which is jointly designed by the authors and makes an improvement based on the regular Asian option better to meet the demands of the current financial market. This paper provides an explicit definition and comprehensive explanation of this new Asian option and explores its unique functions in the financial market compared with the normal Asian option. Furthermore, to verify the effectiveness of the proposed option, this paper selects representative real stock prices and makes some reasonable assumptions. After using Stata to process the data, the performance of the new Asian option is analyzed, and a numerical comparison between the proposed option and the normal Asian option is made. And the effectiveness of the proposed option in mitigating risk is validated. This paper expounds on the proposed option in detail so that readers can develop a deep understanding of it. It also provides some reference for the option issuers to issue new options.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
31 December 2022
ISBN
978-94-6463-036-7
ISSN
2352-5428
DOI
10.2991/978-94-6463-036-7_150How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Kuijun Chen
AU  - Yanni Lu
AU  - Siyang Zhang
PY  - 2022
DA  - 2022/12/31
TI  - An Analysis of Optimized Asian Options
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 1021
EP  - 1026
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_150
DO  - 10.2991/978-94-6463-036-7_150
ID  - Chen2022
ER  -