Pricing Asian Option by Binomial Tree and Branching Process
Quantitative Finance, Supervised by Prof. Sourav Majumdar, 2024
- Derived formulas for Arithmetic and Geometric Average Asian Options using the Cox-Ross-Rubinstein Method for the n-th time interval.
- Computed risk-neutral probabilities for each time step to price Asian Options based on Arithmetic and Geometric means.
- Established upper and lower bounds for Asian Option prices in discrete time and extended these results to continuous time.
- Investigating optimal paths for stock price averages using branching processes to improve pricing accuracy.
- Developing transition probability functions for risk-neutral probabilities, modeling them as a Markov Chain to find the stationary distribution.