A refined binomial lattice for pricing American Asian options
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Publication:375476
DOI10.1023/A:1009622231124zbMATH Open1274.91477OpenAlexW1578340357MaRDI QIDQ375476FDOQ375476
Authors: Prasad Chalasani, Somesh Jha, Feyzullah Egriboyun, Ashok Varikooty 
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
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cited In (12)
- 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
- One-state variable binomial models for European-/American-style geometric Asian options
- A moments and strike matching binomial algorithm for pricing American put options
- An improved binomial method for pricing Asian options
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