An efficient convergent lattice algorithm for European Asian options

DOI10.1016/j.amc.2004.10.085zbMath1151.91499OpenAlexW1998369850MaRDI QIDQ2571992

Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu

Publication date: 14 November 2005

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

Full work available at URL: http://ntur.lib.ntu.edu.tw//handle/246246/20060927122848148993

zbMATH Keywords

latticeLagrange multiplieroption pricingapproximation algorithmAsian optionpath-dependent derivative

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes, A convergent quadratic-time lattice algorithm for pricing European-style Asian options, Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices, An exact subexponential-time lattice algorithm for Asian options, An efficient and accurate lattice for pricing derivatives under a jump-diffusion process, Accurate closed-form approximation for pricing Asian and basket options, Efficient pricing of discrete Asian options, Accurate and efficient lattice algorithms for American-style Asian options with range bounds, Partial differential equations for Asian option prices

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