Accurate and efficient lattice algorithms for American-style Asian options with range bounds

DOI10.1016/J.AMC.2008.12.053zbMath1156.91365OpenAlexW2133161479MaRDI QIDQ1008586

Tian-Shyr Dai, Yuh-Dauh Lyuu

Publication date: 30 March 2009

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

Full work available at URL: http://ntur.lib.ntu.edu.tw//handle/246246/154545

zbMATH Keywords

latticeoption pricingAsian optionpath-dependent derivativerange-bound algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ An efficient and accurate lattice for pricing derivatives under a jump-diffusion process ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ An Efficient Transform Method for Asian Option Pricing ⋮ Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

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