Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "651"
  #_source: array:26 [
    "id" => "651"
    "slug" => "analytical-pricing-of-discretely-monitored-asian-style-options-theory-and-application-to-commodity-markets"
    "yearMonth" => "2008-10"
    "year" => "2008"
    "title" => "Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets"
    "description" => "FUSAI, G., MARENA, M. et RONCORONI, A. (2008). Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets. <i>Journal of Banking & Finance</i>, 32(10), pp. 2033-2045."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "RONCORONI Andrea"
        "bid" => "B00006589"
        "slug" => "roncoroni-andrea"
      ]
      1 => array:1 [
        "name" => "FUSAI G."
      ]
      2 => array:1 [
        "name" => "MARENA M."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "Fourier transform"
      1 => "Laplace transfom"
      2 => "Marchés de commodités"
      3 => "Marchés de l'energie"
      4 => "Options asiatiques"
      5 => "Temps discret"
    ]
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "2033-2045"
      "volume" => "32"
      "number" => "10"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Nous dérivons une expression analytique pour la fonction génératrice des moments du vecteur aléatoire composé du prix spot et d'une moyenne monitorée en temps discret pour une large classe des processus "square-root". Ce résultat, combiné avec la méthode d'évaluation par transformé de Fourier, tel que proposé par Carr et Madan [Carr, P., Madan D., 1999. Option valuation using the fast Fourier transform. Journal of Computational Finance 2(4), Summer, 61?73] nous permet de dériver une formule fermée pour la valeur équitable des options asiatiques monitorées en temps discret. Notre analyse comprend les cas de dynamiques de prix de commodités qui possèdent la propriété du retour à la moyenne et qui calibrent la courbe future cotée ainsi que la structure saisonnière de la volatilité du prix spot. Quatre tests ont été effectués afin de déterminer la performance relative des procédures d'évaluation conséquentes à l'utilisation de notre formule. Les résultats empiriques basés sur l'analyse des données du gaz (NYMEX) et du blé (CBOT) montrent une amélioration remarquable par rapport aux principales techniques alternatives développées en relation au modèle du marché fondé sur le mouvement Brownian géométrique."
      "en" => "We compute an analytical expression for the moment generating function of the joint random vector consisting of a spot price and its discretely monitored average for a large class of square-root price dynamics. This result, combined with the Fourier transform pricing method proposed by Carr and Madan [Carr, P., Madan D., 1999. Option valuation using the fast Fourier transform. Journal of Computational Finance 2(4), Summer, 61?73] allows us to derive a closed-form formula for the fair value of discretely monitored Asian-style options. Our analysis encompasses the case of commodity price dynamics displaying mean reversion and jointly fitting a quoted futures curve and the seasonal structure of spot price volatility. Four tests are conducted to assess the relative performance of the pricing procedure stemming from our formulae. Empirical results based on natural gas data from NYMEX and corn data from CBOT show a remarkable improvement over the main alternative techniques developed for pricing Asian-style options within the market standard framework of geometric Brownian motion."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-21T16:21:43.000Z"
    "docTitle" => "Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/roncoroni-andrea">RONCORONI Andrea</a>, FUSAI G., MARENA M."
    "docDescription" => "<span class="document-property-authors">RONCORONI Andrea, FUSAI G., MARENA M.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2008</span>"
    "keywordList" => "<a href="#">Fourier transform</a>, <a href="#">Laplace transfom</a>, <a href="#">Marchés de commodités</a>, <a href="#">Marchés de l'energie</a>, <a href="#">Options asiatiques</a>, <a href="#">Temps discret</a>"
    "docPreview" => "<b>Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets</b><br><span>2008-10 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.269113
  +"parent": null
}