Efficient, exact algorithms for Asian options with multiresolution lattices

Tian-Shyr Dai*, Yuh Dauh Lyuu

*此作品的通信作者

研究成果: Article同行評審

8 引文 斯高帕斯(Scopus)

摘要

Asian options are a kind of path-dependent derivative. How to price such derivatives efficiently and accurately has been a long-standing research and practical problem. This paper proposes a novel multiresolution (MR) trinomial lattice for pricing European- and American-style arithmetic Asian options. Extensive experimental work suggests that this new approach is both efficient and more accurate than existing methods. It also computes the numerical delta accurately. The MR algorithm is exact as no errors are introduced during backward induction. In fact, it may be the first exact discrete-time algorithm to break the exponential-time barrier. The MR algorithm is guaranteed to converge to the continuous-time value.

原文English
頁(從 - 到)181-203
頁數23
期刊Review of Derivatives Research
5
發行號2
DOIs
出版狀態Published - 1 1月 2002

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