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: | 1-四月-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 |
顯示於類別: | 期刊論文 |