A dynamic programming procedure for pricing American-style Asian options

DOI10.1287/MNSC.48.5.625.7803MaRDI QIDQ3114780zbMATH OpenOpenAlexFDO

Authors Hatem Ben-Ameur, Michèle Breton, Pierre L'Ecuyer

Publication date 19 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/08fb82d92aae01069f6cd18909a4b575faa12d5d

zbMATH Keywords

American optionsAsian optionsBermudan optionsdynamic programmingoption pricingpath-dependent optionspiecewise polynomials

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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(18)

• A Longstaff and Schwartz approach to the early election problem
• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
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• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• A dynamic programming approach to price installment options
• Approximation of dynamic programs
• Analytical valuation of American-style Asian options
• A dynamic programming approach for pricing CDS and CDS options
• Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
• American-style options in jump-diffusion models: estimation and evaluation
• Valuation of an early exercise defined benefit underpin hybrid pension
• Optimal stock selling/buying strategy with reference to the ultimate average
• Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
• A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• Pricing Discrete Dynamic Fund Protections
• Power approximation for pricing American options
• Free boundary and optimal stopping problems for American Asian options

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