An accurate binomial model for pricing American Asian option

DOI10.1007/S11424-014-3271-XzbMATH Open1377.91166OpenAlexW2016083873MaRDI QIDQ890640FDOQ890640

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

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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)

Cites Work

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

Cited In (9)

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

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