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On European and Asian option pricing in the generalized hyperbolic model

Published online by Cambridge University Press:  23 March 2005

MARTIN PREDOTA
MARTIN PREDOTA
Affiliation:
Department of Mathematics A, Graz University of Technology, Steyrergasse 30, 8010 Graz, Austria email: predota@finanz.math.TUGraz.at
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Abstract

The aim of this paper is to give a detailed introduction to the generalized hyperbolic option pricing model. We discuss European and discrete Asian options, especially arithmetic average options, and compare the results with the classical Black–Scholes model.

Type
Papers
Information
European Journal of Applied Mathematics , Volume 16 , Issue 1 , February 2005 , pp. 111 - 144
Copyright
2005 Cambridge University Press

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