scientific article; zbMATH DE number 1875432

zbMATH Open1037.91041MaRDI QIDQ4796191FDOQ4796191

Authors: Karhan Akcoglu, S. V. Raghavan, Ming-Yang Kao 

Publication date: 2 March 2003

Full work available at URL: http://link.springer.de/link/service/series/0558/bibs/2161/21610404

Title of this publication is not available (Why is that?)

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zbMATH Keywords

fast Fourier transformstock pricesMonte Carlo algorithmEuropean Asian optionsrecursive bucketing-based scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (9)

• Accurate closed-form approximation for pricing Asian and basket options
• Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm
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• Accurate and efficient lattice algorithms for American-style Asian options with range bounds
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• Algorithmic Applications in Management
• A fast, accurate, and simple method for pricing European-Asian and saving-Asian options
• Fast and realistic European ARCH option pricing and hedging
• An improved convolution algorithm for discretely sampled Asian options

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