Adaptive placement method on pricing arithmetic average options

DOI10.1007/s11147-008-9025-yzbMath1163.91390OpenAlexW2141223560MaRDI QIDQ1025615

Hui-Shan Wei, Tian-Shyr Dai, Jr-Yan Wang

Publication date: 19 June 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-008-9025-y

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (4)

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 ⋮ An accurate binomial model for pricing American Asian option ⋮ Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk

Cites Work

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• A refined binomial lattice for pricing American Asian options
• Convergence of numerical methods for valuing path-dependent options using interpolation
• Efficient, exact algorithms for Asian options with multiresolution lattices
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Option pricing: A simplified approach

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