An exact subexponential-time lattice algorithm for Asian options
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- An exact subexponential-time lattice algorithm for Asian options
- Efficient, exact algorithms for Asian options with multiresolution lattices
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- An efficient convergent lattice algorithm for European Asian options
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- The linear-congruential-algorithm based lattice method in Asian option pricing
- General lattice methods for arithmetic Asian options
- A refined binomial lattice for pricing American Asian options
- Efficient solutions for discrete Asian options
- Efficient and accurate quadratic approximation methods for pricing Asian strike options
Cites work
- scientific article; zbMATH DE number 1243617 (Why is no real title available?)
- scientific article; zbMATH DE number 1947439 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 2114384 (Why is no real title available?)
- scientific article; zbMATH DE number 1445392 (Why is no real title available?)
- A refined binomial lattice for pricing American Asian options
- An efficient convergent lattice algorithm for European Asian options
- Approximate option pricing
- 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
- Martingales and stochastic integrals in the theory of continuous trading
- 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
- Valuing American options by simulation: a simple least-squares approach
Cited in
(12)- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- An efficient convergent lattice algorithm for European Asian options
- General lattice methods for arithmetic Asian options
- Efficient pricing of discrete Asian options
- Pricing ladder options with combinatorics
- An exact subexponential-time lattice algorithm for Asian options
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Efficient, exact algorithms for Asian options with multiresolution lattices
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- Linear-time accurate lattice algorithms for tail conditional expectation
- Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
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