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Opțiune asiatică, Asian option

Option contracts traded on futures exchanges are mainly American-style, whereas those traded over-the-counter are mainly European.

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Nearly all stock and equity options are American options, while indexes are generally represented by European options. Commodity options can be either style. Expiration date[ edit ] Traditional monthly American options expire the third Saturday of every month.

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They are closed for trading the Friday prior. European options expire the Friday prior to the third Saturday of every month. Therefore, they are closed for trading the Thursday prior to the third Saturday of every month. Difference in value[ edit ] Assuming an arbitrage-free market, a partial differential equation known as the Black-Scholes equation can be derived to describe the prices of derivative securities as a function of few parameters.

Under simplifying opțiune asiatică of the widely adopted Black modelthe Black-Scholes equation for European options has a closed-form solution known as the Black-Scholes formula. In general, no corresponding formula exist for American options, but a choice of methods to approximate the price are available for example Roll-Geske-Whaley, Barone-Adesi and Opțiune asiatică, Bjerksund and Stensland, binomial options model by Cox-Ross-Rubinstein, Black's approximation and others; there is no consensus on which is preferable.

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An investor opțiune asiatică an American-style option and seeking optimal value will only exercise it before maturity under certain circumstances. Owners who wish to realise the full value of their option will mostly prefer to sell it on, rather than exercise it immediately, sacrificing the time value.

If it is worth more, then the difference is a guide to the likelihood of early exercise. In practice, one can calculate the Black—Scholes price of a European option that is equivalent to the American option except for the exercise dates of course.

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The difference between the two prices can opțiune asiatică be used to calibrate the more complex American option model. To account for the American's higher value there must be some situations in which it is optimal to exercise the American option before the expiration date. This can opțiune asiatică in several ways, such as: An in the money ITM call option on a stock is often exercised just before the stock pays a dividend that would lower its value by more opțiune asiatică the option's remaining time value.

A put option will usually be exercised early if the underlying asset files for bankruptcy.

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An American bond option on the dirty price of a bond such as some convertible bonds may be exercised immediately if ITM and a coupon is due. A put option on gold will be exercised early when deep ITM, because gold tends to hold its value whereas the currency used as the strike is often expected to lose value through inflation if the holder waits until final maturity to exercise the option they will almost certainly exercise a contract deep ITM, minimizing its time value.

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This is intermediate between a European option—which allows exercise at a single time, namely expiry—and an American option, which allows exercise at any time the name is jocular: Bermudaa British overseas territoryis somewhat American and somewhat European—in terms of both option style and physical location—but is nearer to American in terms of both.

Opțiune asiatică example, a typical Bermudian swaption might confer the opportunity to enter into an interest rate swap.

The option holder might decide to enter into the swap at the first exercise date and so enter into, say, a ten-year swap or defer and have the opportunity to enter in six months time and so enter a nine-year and six-month swap ; see Swaption: Valuation.

Most exotic interest rate options are of Bermudan style. Canary option[ edit ] A Canary option is an option whose exercise style lies somewhere between European options and Bermudian options. The name refers to the relative geography of the Canary Islands. Typically, the opțiune asiatică can exercise the option at quarterly dates, but not before a set time period typically one year has elapsed. The ability to exercise the option ends prior to the maturity date of the product.

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The term was coined by Keith Kline, who at the time was an agency fixed income trader at the Bank of New York. Capped-style option[ edit ] A capped-style option is not an interest rate cap but a conventional option with a pre-defined opțiune asiatică cap written into the contract. A capped-style option is automatically exercised when the underlying security closes at a price making the option's mark to market match the specified amount.

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Compound option[ edit ] A compound option is an option on another option, and as such presents the holder with two separate exercise dates and decisions. If the first exercise date arrives and the 'inner' option's market price is below the agreed opțiune asiatică the first option will be exercised European stylegiving the holder a further option at final maturity.

Shout option[ edit ] A shout option opțiune asiatică the holder effectively two exercise dates: during the life of the option they can at any time "shout" to the seller that they are locking-in the current price, and if this gives them a better deal than the payoff at maturity they'll opțiune asiatică the underlying price on the shout date rather than the price at maturity to calculate their final payoff.

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Double option[ edit ] A double option gives the purchaser a composite opțiune asiatică option an option to either buy or sell in a single contract. This has only ever been available in commodities markets and have never been traded on exchange. Swing option[ edit ] A swing option gives the purchaser the right to exercise one and only one call or put on any opțiune asiatică of a number of specified exercise dates this latter aspect is Bermudan. Penalties are imposed on the buyer if the net volume purchased exceeds or falls below specified upper and lower limits.