In this paper, we use a modified path simulation method for valuation of Asian American Options.\nThis method is a modification of the path simulation model proposed by Tiley. We assume that the\nbehavior of the log return of the underlying assets follows the Variance Gamma (VG) process, since\nits distribution is heavy tail and leptokurtic. We provide sensitivity analysis of this method and\ncompare the obtained prices to Asian European option prices.
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