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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Bibliographic Details
Published in:	Applied mathematics and computation Vol. 217; no. 24; pp. 9875 - 9894
Main Authors:	Hsu, William W.Y., Lyuu, Yuh-Dauh
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier Inc 15.08.2011 Elsevier
Subjects:	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
Online Access:	Get full text
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