Accurate pricing formulas for Asian options

DOI10.1016/j.amc.2006.11.032zbMath1255.91396OpenAlexW2132868646MaRDI QIDQ2372053

Kuan-Wen Chen, Yuh-Dauh Lyuu

Publication date: 10 July 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/154521/1/15.pdf

zbMATH Keywords

option pricingapproximationAsian optiongeometric Brownian motionlognormal distributionfloating strikefixed strike

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A convergent quadratic-time lattice algorithm for pricing European-style Asian options ⋮ A numerical study of Asian option with radial basis functions based finite differences method ⋮ Critical value-based Asian option pricing model for uncertain financial markets ⋮ High-order compact finite difference scheme for pricing Asian option with moving boundary condition ⋮ Lower and upper bounds for prices of Asian-type options ⋮ Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients ⋮ Efficient pricing of discrete Asian options ⋮ A numerical study of Asian option with high-order compact finite difference scheme ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model

Cites Work

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• Convergence of numerical methods for valuing path-dependent options using interpolation
• On the equivalence of floating- and fixed-strike Asian options
• Quasi-Monte Carlo Methods in Numerical Finance
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option

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