## 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 |
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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 2004 → 13 1月 2004 |

### Conference

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

城市 | New Orleans, LA. |

期間 | 11/01/04 → 13/01/04 |