Pricing American Asian options with higher moments in the underlying distribution

DOI10.1016/J.CAM.2008.01.012MaRDI QIDQ953394zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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

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