An Exact Subexponential-Time Lattice Algorithm for Asian Options

Tian-Shyr Dai*, Yuh Dauh Lyuu

*此作品的通信作者

研究成果: Paper同行評審

6 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁面703-710
頁數8
出版狀態Published - 15 4月 2004
事件Proceedings of the Fifteenth Annual ACM-SIAM Symposium on Discrete Algorithms - New Orleans, LA., United States
持續時間: 11 1月 200413 1月 2004

Conference

ConferenceProceedings of the Fifteenth Annual ACM-SIAM Symposium on Discrete Algorithms
國家/地區United States
城市New Orleans, LA.
期間11/01/0413/01/04

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