An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options

DOI10.1007/978-3-540-72870-2_25MaRDI QIDQ5434445zbMATH OpenOpenAlexFDO

Authors Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei

Publication date 4 January 2008

Published in Algorithmic Aspects in Information and Management (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-72870-2_25

zbMATH Keywords

adaptive placementarithmetic average optionslogarithmically equally-spaced placement

Mathematics Subject Classification ID

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

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• Arbitrage-free interpolation of call option prices
• Adaptive placement method on pricing arithmetic average options
• On pricing arithmetic average reset options with multiple reset dates in a lattice framework

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