完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Dai, Tian-Shyr | en_US |
dc.contributor.author | Lyuu, Yuh-Dauh | en_US |
dc.date.accessioned | 2014-12-08T15:14:21Z | - |
dc.date.available | 2014-12-08T15:14:21Z | - |
dc.date.issued | 2007-04-01 | en_US |
dc.identifier.issn | 0001-5903 | en_US |
dc.identifier.uri | http://dx.doi.org/10.1007/s00236-006-0033-9 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/10963 | - |
dc.description.abstract | 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. | en_US |
dc.language.iso | en_US | en_US |
dc.title | An exact subexponential-time lattice algorithm for Asian options | en_US |
dc.type | Article | en_US |
dc.identifier.doi | 10.1007/s00236-006-0033-9 | en_US |
dc.identifier.journal | ACTA INFORMATICA | en_US |
dc.citation.volume | 44 | en_US |
dc.citation.issue | 1 | en_US |
dc.citation.spage | 23 | en_US |
dc.citation.epage | 39 | en_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.department | Department of Information Management and Finance | en_US |
dc.identifier.wosnumber | WOS:000245291800002 | - |
dc.citation.woscount | 3 | - |
顯示於類別: | 期刊論文 |