Accurate and efficient lattice algorithms for American-style Asian options with range bounds

DOI10.1016/J.AMC.2008.12.053zbMath1156.91365OpenAlexW2133161479MaRDI QIDQ1008586

Tian-Shyr Dai, Yuh-Dauh Lyuu

Publication date: 30 March 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw//handle/246246/154545

zbMATH Keywords

latticeoption pricingAsian optionpath-dependent derivativerange-bound algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ An efficient and accurate lattice for pricing derivatives under a jump-diffusion process ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ An Efficient Transform Method for Asian Option Pricing ⋮ Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

Cites Work

• An exact subexponential-time lattice algorithm for Asian options
• Martingales and stochastic integrals in the theory of continuous trading
• Connecting discrete and continuous path-dependent options
• Monte Carlo methods for security pricing
• Convergence of numerical methods for valuing path-dependent options using interpolation
• An efficient convergent lattice algorithm for European Asian options
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• The Valuation of Path Dependent Contracts on the Average
• Estimating Security Price Derivatives Using Simulation
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Numerical Inversion of Laplace Transforms of Probability Distributions
• The value of an Asian option
• Option pricing: A simplified approach
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Accurate and efficient lattice algorithms for American-style Asian options with range bounds