Pricing American Asian options with higher moments in the underlying distribution

DOI10.1016/J.CAM.2008.01.012zbMATH Open1152.91534OpenAlexW2028631907MaRDI QIDQ953394FDOQ953394

Authors: Keng-Hsin Lo, Kehluh Wang, Ming-Feng Hsu 

Publication date: 20 November 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.01.012

Recommendations

• An improved binomial method for pricing Asian options
• An accurate binomial model for pricing American Asian option
• A refined binomial lattice for pricing American Asian options
• AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
• Asian option pricing with orthogonal polynomials

zbMATH Keywords

American Asian optionsEdgeworth binomial modelhigher moment

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• The pricing of options and corporate liabilities
• Applications of Malliavin calculus to Monte Carlo methods in finance
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Pricing interest-rate-derivative securities
• Prices and sensitivities of Asian options: A survey
• Spectral Expansions for Asian (Average Price) Options
• Laguerre series for Asian and other options
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Monte Carlo methods for security pricing
• Option pricing: A simplified approach
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• The concept of comonotonicity in actuarial science and finance: theory.
• Efficient, exact algorithms for Asian options with multiresolution lattices
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Estimating Security Price Derivatives Using Simulation
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• A refined binomial lattice for pricing American Asian options
• The concept of comonotonicity in actuarial science and finance: applications.
• Upper and lower bounds for sums of random variables
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach

Cited In (3)

• An accurate binomial model for pricing American Asian option
• Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
• AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS

This page was built for publication: Pricing American Asian options with higher moments in the underlying distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q953394)