Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm
DOI10.1016/J.IPL.2006.07.006zbMATH Open1185.68860OpenAlexW2024301888MaRDI QIDQ845869FDOQ845869
Authors: Akiyoshi Shioura, Takeshi Tokuyama 
Publication date: 29 January 2010
Published in: Information Processing Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ipl.2006.07.006
option pricinganalysis of algorithmsrandomized algorithmsapproximation algorithmsEuropean-Asian option
Derivative securities (option pricing, hedging, etc.) (91G20) Randomized algorithms (68W20) Analysis of algorithms (68W40) Approximation algorithms (68W25)
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- Weighted sums of certain dependent random variables
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- A refined binomial lattice for pricing American Asian options
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- A fast, accurate, and simple method for pricing European-Asian and saving-Asian options
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