Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm

DOI10.1016/j.ipl.2006.07.006zbMath1185.68860OpenAlexW2024301888MaRDI QIDQ845869

Akiyoshi Shioura, Takeshi Tokuyama

Publication date: 29 January 2010

Published in: Information Processing Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ipl.2006.07.006

zbMATH Keywords

option pricinganalysis of algorithmsapproximation algorithmsrandomized algorithmsEuropean-Asian option

Mathematics Subject Classification ID

Analysis of algorithms (68W40) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation algorithms (68W25) Randomized algorithms (68W20)

Cites Work

• A refined binomial lattice for pricing American Asian options
• Approximate option pricing
• A fast, accurate, and simple method for pricing European-Asian and saving-Asian options
• Weighted sums of certain dependent random variables
• Option pricing: A simplified approach
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