英文标题：
《Conditional Asian Options》
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作者：
Runhuan Feng and Hans W. Volkmer
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最新提交年份：
2015
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英文摘要：
Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain threshold. Due to the limited inclusion of prices, conditional Asian options further reduce the volatility in the payoffs than their regular counterparts and have been promoted in the market as viable hedging and risk management instruments for equity-linked life insurance products. There has been no previous academic literature on this subject and practitioners have only been known to price these products by simulations. We propose the first analytical approach to computing prices and deltas of conditional Asian options in comparison with regular Asian options. In the numerical examples, we put to the test some cost-benefit claims by practitioners. As a by-product, the work also presents some distributional properties of the occupation time and the time-integral of geometric Brownian motion during the occupation time.
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中文摘要：
有条件亚洲期权是最近的市场创新，它提供了比常规亚洲期权更便宜、更长期的替代方案。与基于平均资产价格的常规亚式期权的收益不同，条件亚式期权的收益仅由高于某个阈值的平均价格决定。由于包含的价格有限，有条件的亚洲期权比常规期权进一步降低了收益的波动性，并已在市场上推广为与股票挂钩的人寿保险产品的可行对冲和风险管理工具。之前没有关于这一主题的学术文献，人们只知道实践者通过模拟为这些产品定价。我们提出了第一种分析方法来计算条件亚式期权与常规亚式期权的价格和增量。在数值例子中，我们检验了从业者的一些成本效益主张。作为一个副产品，这项工作还提出了占领时间的一些分布性质和占领时间内几何布朗运动的时间积分。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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