A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL

DOI10.1142/S0219024906003986zbMath1134.91462MaRDI QIDQ5386318

Dan Shao

Publication date: 14 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingheteroscedasticityAmerican optionsAsian optionsGARCH processpiecewise polynomial

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical mathematical programming methods (65K05) Economic time series analysis (91B84)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• Generalized autoregressive conditional heteroscedasticity
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• THE GARCH OPTION PRICING MODEL
• The value of an Asian option
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing when underlying stock returns are discontinuous
• American option pricing under GARCH by a Markov chain approximation

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