## 摘要

Asian options are popular financial derivative securities. Unfortunately, no exact pricing formulas exist for their price under continuous-time models. Asian options can also be priced on the lattice, which is a discretized version of the continuous- time model. But only exponential-time algorithms exist if the options are priced on the lattice without approximations. Although efficient approximation methods are available, they lack accuracy guarantees in general. This paper proposes a novel lattice structure for pricing Asian options. The resulting pricing algorithm is exact (i.e., without approximations), converges to the value under the continuous-time model, and runs in subexponential time. This is the first exact, convergent lattice algorithm to break the long-standing exponential-time barrier.

原文 | English |
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頁（從 - 到） | 23-39 |

頁數 | 17 |

期刊 | Acta Informatica |

卷 | 44 |

發行號 | 1 |

DOIs | |

出版狀態 | Published - 4月 2007 |