A convergent quadratic-time lattice algorithm for pricing European-style Asian options

DOI10.1016/j.amc.2006.11.180zbMath1243.91098OpenAlexW2094562251MaRDI QIDQ2383617

William Wei-Yuan Hsu, Yuh-Dauh Lyuu

Publication date: 19 September 2007

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

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/154524/1/16.pdf

zbMATH Keywords

latticePDEcomplexityLagrange multiplierAsian optionbinomial modeltrinomial modelOption pricingpath-dependent derivative

Mathematics Subject Classification ID

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

Related Items (6)

Efficient willow tree method for European-style and American-style moving average barrier options pricing ⋮ A numerical study of Asian option with radial basis functions based finite differences method ⋮ High-order compact finite difference scheme for pricing Asian option with moving boundary condition ⋮ Finite difference scheme with a moving mesh for pricing Asian options ⋮ Efficient pricing of discrete Asian options ⋮ A numerical study of Asian option with high-order compact finite difference scheme

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