## Abstract

Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a long-standing research and practical problem. Asian options can be priced on the lattice. But only exponential-time algorithms are currently known if such options are to be priced on a lattice without approximation. Although efficient approximation methods are available, most of them lack accuracy guarantees. This paper proposes a novel lattice for pricing Asian options. The resulting exact pricing algorithm runs in subexponential time. This is the first exact lattice algorithm to break the exponential-time barrier. Because this lattice converges to the continuous-time stock price process, the proposed algorithm is guaranteed to converge to the desired continuous-time option value.

Original language | English |
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Pages | 703-710 |

Number of pages | 8 |

State | Published - 15 Apr 2004 |

Event | Proceedings of the Fifteenth Annual ACM-SIAM Symposium on Discrete Algorithms - New Orleans, LA., United States Duration: 11 Jan 2004 → 13 Jan 2004 |

### Conference

Conference | Proceedings of the Fifteenth Annual ACM-SIAM Symposium on Discrete Algorithms |
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Country/Territory | United States |

City | New Orleans, LA. |

Period | 11/01/04 → 13/01/04 |