An efficient convergent lattice algorithm for European Asian options

DOI10.1016/j.amc.2004.10.085zbMath1151.91499MaRDI QIDQ2571992

Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu

Publication date: 14 November 2005

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

Full work available at URL: http://ntur.lib.ntu.edu.tw//handle/246246/20060927122848148993

zbMATH Keywords

lattice; Lagrange multiplier; option pricing; approximation algorithm; Asian option; path-dependent derivative

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Partial differential equations for Asian option prices, Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes, Efficient pricing of discrete Asian options, An efficient and accurate lattice for pricing derivatives under a jump-diffusion process, An exact subexponential-time lattice algorithm for Asian options, Accurate and efficient lattice algorithms for American-style Asian options with range bounds, A convergent quadratic-time lattice algorithm for pricing European-style Asian options, Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices, Accurate closed-form approximation for pricing Asian and basket options

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