The linear-congruential-algorithm based lattice method in Asian option pricing

MaRDI QIDQ3072784zbMATH OpenFDO

Authors Li-Ping Pang, Xue-Fei Ma, Bin Zhang, Yang Yang

Publication date 5 February 2011

zbMATH Keywords

Asian option pricinglattice methodlinear-congruential-algorithmquasi-Monte Carlo

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Pricing Options Using Lattice Rules
• Random sampling from low-discrepancy sequences: applications to option pricing
• A convergent quadratic-time lattice algorithm for pricing European-style Asian options
• scientific article; zbMATH DE number 1103058
• A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing

Cited in

(2)

• scientific article; zbMATH DE number 1390121 (Why is no real title available?)
• An exact subexponential-time lattice algorithm for Asian options

This page was built for publication: The linear-congruential-algorithm based lattice method in Asian option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3072784)