Efficient, exact algorithms for Asian options with multiresolution lattices

DOI10.1023/A:1016535729780zbMath1054.91035OpenAlexW1499646317MaRDI QIDQ1415634

Tian-Shyr Dai, Yuh-Dauh Lyuu

Publication date: 9 December 2003

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1016535729780

zbMATH Keywords

path-dependent optionstrinomial model

Mathematics Subject Classification ID

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Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ A convergent quadratic-time lattice algorithm for pricing European-style Asian options ⋮ Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices ⋮ An exact subexponential-time lattice algorithm for Asian options ⋮ Pricing American Asian options with higher moments in the underlying distribution ⋮ Adaptive placement method on pricing arithmetic average options ⋮ An efficient convergent lattice algorithm for European Asian options

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