Application of high-precision computing for pricing arithmetic Asian options

DOI10.1145/1145768.1145782MaRDI QIDQ2958969zbMATH OpenOpenAlexFDO

Authors Phelim Boyle, Alex Potapchik

Publication date 3 February 2017

Published in Proceedings of the 2006 international symposium on Symbolic and algebraic computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1145768.1145782

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Prices and sensitivities of Asian options: A survey
• Numerical computation of an integral representation for arithmetic-average Asian options
• Estimation of sensitivity parameters of the arithmetic Asian options
• scientific article; zbMATH DE number 1947439
• The value of an Asian option

Cited in

(9)

• Numerical computation of an integral representation for arithmetic-average Asian options
• Characterization of Kummer hypergeometric Bernoulli polynomials and applications
• Estimation of sensitivity parameters of the arithmetic Asian options
• High‐performance numerical pricing methods
• On bounds for Kummer's function ratio
• Numerical methods for the computation of the confluent and Gauss hypergeometric functions
• Family of integrable bounds for the logarithmic derivative of Kummer's function
• Exact simulation of the Hull and White stochastic volatility model
• Prices and sensitivities of Asian options: A survey

Describes a project that uses

Uses Software

• Maple

This page was built for publication: Application of high-precision computing for pricing arithmetic Asian options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2958969)