A refined binomial lattice for pricing American Asian options

DOI10.1023/A:1009622231124zbMATH Open1274.91477OpenAlexW1578340357MaRDI QIDQ375476FDOQ375476

Ashok Varikooty, Feyzullah Egriboyun, Prasad Chalasani, Somesh Jha

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009622231124

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zbMATH Keywords

stopping timesAmerican optionspath-dependent optionsbinomial modelAsian options

Mathematics Subject Classification ID

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

Cited In (10)

• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm
• An exact subexponential-time lattice algorithm for Asian options
• Accurate and efficient lattice algorithms for American-style Asian options with range bounds
• Adaptive placement method on pricing arithmetic average options
• An accurate binomial model for pricing American Asian option
• A binomial approximation for two-state Markovian HJM models
• Pricing American Asian options with higher moments in the underlying distribution
• General lattice methods for arithmetic Asian options
• A moments and strike matching binomial algorithm for pricing American put options

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