Efficient pricing of discrete Asian options
From MaRDI portal
Publication:555398
DOI10.1016/j.amc.2011.01.015zbMath1386.91141MaRDI QIDQ555398
Yuh-Dauh Lyuu, William Wei-Yuan Hsu
Publication date: 22 July 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.01.015
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pricing American barrier options with discrete dividends by binomial trees
- Monte Carlo methods for security pricing
- Convergence of numerical methods for valuing path-dependent options using interpolation
- An analysis of a least squares regression method for American option pricing
- Accurate pricing formulas for Asian options
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- An efficient convergent lattice algorithm for European Asian options
- On the equivalence of floating- and fixed-strike Asian options
- Asymptotic Methods in Enumeration
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- The Valuation of Path Dependent Contracts on the Average
- A Note on Average Rate Options with Discrete Sampling
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
- The singular points binominal method for pricing American path-dependent options
- Option pricing: A simplified approach
- On accurate and provably efficient GARCH option pricing algorithms
