Efficient pricing of discrete Asian options
作者： William W.Y. Hsu , Yuh-Dauh Lyuu
DOI: 10.1016/J.AMC.2011.01.015
关键词:
摘要: Asian options are popular path-dependent financial derivatives. This paper uses lattices to price fixed-strike European-style that discretely monitored. The algorithm proposed can also be applied floating-strike as well because and related through an equation. monitored version is usually found in practice instead of the continuously encountered literature. presents first provably quadratic-time convergent lattice for pricing options. It most efficient with convergence guarantees. relies on Lagrange multipliers choose number states each node lattice. Extensive numerical experiments comparisons many existing methods confirm performance claims competitiveness our algorithm. result places same complexity class vanilla
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