An efficient convergent lattice algorithm for European Asian options
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Cites work
- scientific article; zbMATH DE number 4041570 (Why is no real title available?)
- scientific article; zbMATH DE number 1243617 (Why is no real title available?)
- scientific article; zbMATH DE number 1445392 (Why is no real title available?)
- An exact subexponential-time lattice algorithm for Asian options
- Approximate option pricing
- Asymptotic Methods in Enumeration
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Connecting discrete and continuous path-dependent options
- Convergence of numerical methods for valuing path-dependent options using interpolation
- Efficient, exact algorithms for Asian options with multiresolution lattices
- Estimating Security Price Derivatives Using Simulation
- Financial engineering and computation. Principles, mathematics, algorithms
- Monte Carlo methods for security pricing
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Option pricing: A simplified approach
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- The Valuation of Path Dependent Contracts on the Average
- The pricing of options and corporate liabilities
- The value of an Asian option
Cited in
(22)- Partial differential equations for Asian option prices
- scientific article; zbMATH DE number 1875432 (Why is no real title available?)
- Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
- Efficient pricing of discrete Asian options
- Accurate closed-form approximation for pricing Asian and basket options
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
- Convergence of numerical methods for valuing path-dependent options using interpolation
- scientific article; zbMATH DE number 1445392 (Why is no real title available?)
- Adaptive lattice methods for multi-asset models
- An exact subexponential-time lattice algorithm for Asian options
- An exact subexponential-time lattice algorithm for Asian options
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Efficient, exact algorithms for Asian options with multiresolution lattices
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- General lattice methods for arithmetic Asian options
- Pricing ladder options with combinatorics
- A refined binomial lattice for pricing American Asian options
- Path integral pricing of Asian options on state-dependent volatility models
- Linear-time option pricing algorithms by combinatorics
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