An accurate binomial model for pricing American Asian option

DOI10.1007/S11424-014-3271-XMaRDI QIDQ890640zbMATH OpenOpenAlexFDO

Authors Jian Liu, Weixing Wu, Haijian Zhao, Jing-Feng Xu

Publication date 10 November 2015

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-3271-x

zbMATH Keywords

option pricingAsian optionbinomial tree

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cites work

• A Note on Average Rate Options with Discrete Sampling
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• A refined binomial lattice for pricing American Asian options
• Adaptive placement method on pricing arithmetic average options
• Convergence of numerical methods for valuing path-dependent options using interpolation
• Option pricing: A simplified approach
• The singular points binomial method for pricing American path-dependent options

Cited in

(9)

• An efficient binomial method for pricing American options
• One-state variable binomial models for European-/American-style geometric Asian options
• A refined binomial lattice for pricing American Asian options
• Pricing American Asian options with higher moments in the underlying distribution
• Accurate closed-form approximation for pricing Asian and basket options
• The singular points binomial method for pricing American path-dependent options
• Efficient pricings for binomial Asian option under fuzzy environment
• Pricing options with American-style average reset features
• An improved binomial method for pricing Asian options

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