A refined binomial lattice for pricing American Asian options
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Publication:375476
DOI10.1023/A:1009622231124zbMath1274.91477OpenAlexW1578340357MaRDI QIDQ375476
Ashok Varikooty, Feyzullah Egriboyun, Prasad Chalasani, Somesh Jha
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009622231124
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm ⋮ An exact subexponential-time lattice algorithm for Asian options ⋮ An accurate binomial model for pricing American Asian option ⋮ Pricing American Asian options with higher moments in the underlying distribution ⋮ A binomial approximation for two-state Markovian HJM models ⋮ General lattice methods for arithmetic Asian options ⋮ Adaptive placement method on pricing arithmetic average options
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