Efficient Pricing of Path Dependent Options with Low Volatility | Chapter 2 | Research and Applications Towards Mathematics and Computer Science Vol. 4

 In this branch, we develop a new alternative pricing model based on the modal average of the latent asset. Financial products have developed fast over the past few decades due to their risk-opposing nature, accompanying options being the favorite financial derivatives on account of their flexible allowable mechanisms, particularly Asian alternatives. The underlying stock's lines or arithmetic averages are usually used to price Asian options. These techniques, nevertheless, are not appropriate for equities with very little evaporation. We propose the use of the modal average as the measure of the latent stock price. We implement the suggested approach to price options exchange on certain exchange equities utilizing data from the Ghana Stock Exchange. The effects consistently demonstrate that the modal average model beats the current alternative pricing algorithms for fundamental equities with inferior 3% volatility. We proceed to show that in theory this assertion is actually true.

Author(s) Details:

Osei Antwi,
Mathematics and Statistics Department, Accra Technical University, P.O. Box GP 561, Accra, Ghana.

Francis Tabi Oduro,
Mathematics Department, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana.

Please see the link here: https://stm.bookpi.org/RATMCS-V4/article/view/11810