Efficient pricing of discrete Asian options

Asian options are popular path-dependent financial derivatives. This paper uses lattices to price fixed-strike European-style Asian options that are discretely monitored. The algorithm proposed can also be applied to floating-strike Asian options as well because fixed-strike and floating-strike Asia...

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Vydáno v:	Applied mathematics and computation Ročník 217; číslo 24; s. 9875 - 9894
Hlavní autoři:	Hsu, William W.Y., Lyuu, Yuh-Dauh
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Amsterdam Elsevier Inc 15.08.2011 Elsevier
Témata:	Algorithms Asian Combinatorics. Ordered structures Convergence Derivatives Discrete Asian options Exact sciences and technology Lattices Mathematical analysis Mathematics Multinomial lattice model Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Option pricing Order, lattices, ordered algebraic structures Pricing Sciences and techniques of general use Vanilla Discrete Asian options Option pricing Multinomial lattice model Complexity class Lagrange multiplier Numerical analysis Applied mathematics Pricing Numerical method Stochastic method Algorithm Convergence
ISSN:	0096-3003, 1873-5649
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Abstract	Asian options are popular path-dependent financial derivatives. This paper uses lattices to price fixed-strike European-style Asian options that are discretely monitored. The algorithm proposed can also be applied to floating-strike Asian options as well because fixed-strike and floating-strike Asian options are related through an equation. The discretely monitored version is usually found in practice instead of the continuously monitored version usually encountered in the literature. This paper presents the first provably quadratic-time convergent lattice algorithm for pricing fixed-strike European-style discretely monitored Asian options. It is the most efficient lattice algorithm with convergence guarantees. The algorithm relies on the Lagrange multipliers to choose the number of states for each node of the lattice. Extensive numerical experiments and comparisons with many existing numerical methods confirm the performance claims and the competitiveness of our algorithm. This result places fixed-strike European-style discretely monitored Asian options in the same complexity class as vanilla options.
AbstractList	Asian options are popular path-dependent financial derivatives. This paper uses lattices to price fixed-strike European-style Asian options that are discretely monitored. The algorithm proposed can also be applied to floating-strike Asian options as well because fixed-strike and floating-strike Asian options are related through an equation. The discretely monitored version is usually found in practice instead of the continuously monitored version usually encountered in the literature. This paper presents the first provably quadratic-time convergent lattice algorithm for pricing fixed-strike European-style discretely monitored Asian options. It is the most efficient lattice algorithm with convergence guarantees. The algorithm relies on the Lagrange multipliers to choose the number of states for each node of the lattice. Extensive numerical experiments and comparisons with many existing numerical methods confirm the performance claims and the competitiveness of our algorithm. This result places fixed-strike European-style discretely monitored Asian options in the same complexity class as vanilla options.
Author	Hsu, William W.Y. Lyuu, Yuh-Dauh
Author_xml	– sequence: 1 givenname: William W.Y. surname: Hsu fullname: Hsu, William W.Y. email: wwyhsu@gmail.com organization: Department of Electrical Engineering and Computer Science, Northwestern University, 2145 Sheridan Rd., Room M324 Evanston, IL 60208, USA – sequence: 2 givenname: Yuh-Dauh surname: Lyuu fullname: Lyuu, Yuh-Dauh email: lyuu@csie.ntu.edu.tw organization: Department of Finance and Department of Computer Science & Information Engineering, National Taiwan University, No. 1, Section 4, Roosevelt Rd., Taipei 106, Taiwan
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Keywords	Discrete Asian options Option pricing Multinomial lattice model Complexity class Lagrange multiplier Numerical analysis Applied mathematics Pricing Numerical method Stochastic method Algorithm Convergence
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Snippet	Asian options are popular path-dependent financial derivatives. This paper uses lattices to price fixed-strike European-style Asian options that are discretely...
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SubjectTerms	Algorithms Asian Combinatorics. Ordered structures Convergence Derivatives Discrete Asian options Exact sciences and technology Lattices Mathematical analysis Mathematics Multinomial lattice model Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Option pricing Order, lattices, ordered algebraic structures Pricing Sciences and techniques of general use Vanilla
Title	Efficient pricing of discrete Asian options
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