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Asymptotic behavior of prices of path dependent options

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  • Yuji Hishida
  • Kenji Yasutomi

Abstract

In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain vanillas. We give some examples whose underlying assets behave as some popular Levy processes. Moreover, we give some payoffs and functions used to approximate them.

Suggested Citation

  • Yuji Hishida & Kenji Yasutomi, 2009. "Asymptotic behavior of prices of path dependent options," Papers 0911.5579, arXiv.org.
    • Handle: RePEc:arx:papers:0911.5579
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