Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm

DOI10.1016/J.IPL.2006.07.006MaRDI QIDQ845869zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricinganalysis of algorithmsrandomized algorithmsapproximation algorithmsEuropean-Asian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Randomized algorithms (68W20) Analysis of algorithms (68W40) Approximation algorithms (68W25)

Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 1875432 (Why is no real title available?)
• scientific article; zbMATH DE number 819814 (Why is no real title available?)
• scientific article; zbMATH DE number 1445392 (Why is no real title available?)
• A fast, accurate, and simple method for pricing European-Asian and saving-Asian options
• A refined binomial lattice for pricing American Asian options
• Approximate option pricing
• Option pricing: A simplified approach
• Weighted sums of certain dependent random variables

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