Journal article
The Valuation of Path Dependent Contracts on the Average
Management science, Vol.39(10), pp.1202-1213
10/01/1993
DOI: 10.1287/mnsc.39.10.1202
Abstract
This article values option contracts based on the average price realized over a finite time horizon. Such contracts are of importance to traders who periodically transact in spot markets and who require protection from adverse moves in their total accrued costs realized over their trading horizons. Explicit valuation models for pricing a variety of path dependent contracts based on geometric and arithmetic averages are developed. The early exercise features of American contracts are investigated, and it is shown that this feature has significant value.
Details
- Title: Subtitle
- The Valuation of Path Dependent Contracts on the Average
- Creators
- Peter Ritchken - Case Western Reserve UniversityL. Sankarasubramanian - School of Business Administration, University of Southern California, Los Angeles, California 90089-1421Anand M. Vijh - School of Business Administration, University of Southern California, Los Angeles, California 90089-1421
- Resource Type
- Journal article
- Publication Details
- Management science, Vol.39(10), pp.1202-1213
- DOI
- 10.1287/mnsc.39.10.1202
- ISSN
- 0025-1909
- eISSN
- 1526-5501
- Language
- English
- Date published
- 10/01/1993
- Academic Unit
- Finance
- Record Identifier
- 9984380361102771
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