標題: An exact subexponential-time lattice algorithm for Asian options
作者: Dai, Tian-Shyr
Lyuu, Yuh-Dauh
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
公開日期: 1-Apr-2007
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.
URI: http://dx.doi.org/10.1007/s00236-006-0033-9
http://hdl.handle.net/11536/10963
ISSN: 0001-5903
DOI: 10.1007/s00236-006-0033-9
期刊: ACTA INFORMATICA
Volume: 44
Issue: 1
起始頁: 23
結束頁: 39
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