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dc.contributor.authorDai, Tian-Shyren_US
dc.contributor.authorLyuu, Yuh-Dauhen_US
dc.date.accessioned2014-12-08T15:14:21Z-
dc.date.available2014-12-08T15:14:21Z-
dc.date.issued2007-04-01en_US
dc.identifier.issn0001-5903en_US
dc.identifier.urihttp://dx.doi.org/10.1007/s00236-006-0033-9en_US
dc.identifier.urihttp://hdl.handle.net/11536/10963-
dc.description.abstractAsian 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.en_US
dc.language.isoen_USen_US
dc.titleAn exact subexponential-time lattice algorithm for Asian optionsen_US
dc.typeArticleen_US
dc.identifier.doi10.1007/s00236-006-0033-9en_US
dc.identifier.journalACTA INFORMATICAen_US
dc.citation.volume44en_US
dc.citation.issue1en_US
dc.citation.spage23en_US
dc.citation.epage39en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000245291800002-
dc.citation.woscount3-
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