An exact subexponential-time lattice algorithm for Asian options
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Publication:878377
DOI10.1007/S00236-006-0033-9zbMATH Open1136.91425OpenAlexW3138040576MaRDI QIDQ878377FDOQ878377
Publication date: 26 April 2007
Published in: Acta Informatica (Search for Journal in Brave)
Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/154527/1/17.pdf
Cites Work
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- The pricing of options and corporate liabilities
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Martingales and stochastic integrals in the theory of continuous trading
- Monte Carlo methods for security pricing
- Financial engineering and computation. Principles, mathematics, algorithms
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Option pricing: A simplified approach
- Connecting discrete and continuous path-dependent options
- Efficient, exact algorithms for Asian options with multiresolution lattices
- An efficient convergent lattice algorithm for European Asian options
- Estimating Security Price Derivatives Using Simulation
- A refined binomial lattice for pricing American Asian options
- Convergence of numerical methods for valuing path-dependent options using interpolation
- The Valuation of Path Dependent Contracts on the Average
- Approximate option pricing
Cited In (4)
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
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