An accurate binomial model for pricing American Asian option
DOI10.1007/S11424-014-3271-XzbMATH Open1377.91166OpenAlexW2016083873MaRDI QIDQ890640FDOQ890640
Jian Liu, Haijian Zhao, Jing-Feng Xu, Weixing Wu
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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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 binominal method for pricing American path-dependent options
- A Note on Average Rate Options with Discrete Sampling
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