An accurate binomial model for pricing American Asian option
From MaRDI portal
Publication:890640
DOI10.1007/s11424-014-3271-xzbMath1377.91166OpenAlexW2016083873MaRDI QIDQ890640
Jian Liu, Haijian Zhao, Weixing Wu, Jing-Feng Xu
Publication date: 10 November 2015
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-014-3271-x
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- A refined binomial lattice for pricing American Asian options
- Adaptive placement method on pricing arithmetic average options
- Convergence of numerical methods for valuing path-dependent options using interpolation
- A Note on Average Rate Options with Discrete Sampling
- The singular points binominal method for pricing American path-dependent options
- Option pricing: A simplified approach
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
This page was built for publication: An accurate binomial model for pricing American Asian option
