Approximate option pricing

DOI10.1007/PL00009280MaRDI QIDQ1818267zbMATH OpenOpenAlexFDO

Authors Yanyan Li, Prasad Chalasani, Isaac Saias, S. Jha

Publication date 3 September 2002

Published in Algorithmica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/pl00009280, https://digital.library.unt.edu/ark:/67531/metadc687277/

zbMATH Keywords

Asian optionsbinomial modelcomputational complexityoption pricingpath-dependent optionsrandom walks

Mathematics Subject Classification ID

Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Linear-time option pricing algorithms by combinatorics
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• Option pricing by means of gennetic programming
• Pricing complexity options
• scientific article; zbMATH DE number 2145170 (Why is no real title available?)
• Certifiably pseudorandom financial derivatives
• Randomization and the American put
• LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
• Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
• Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm
• An exact subexponential-time lattice algorithm for Asian options

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