A parallel wavelet-based pricing procedure for Asian options
نویسندگان
چکیده
منابع مشابه
A Dynamic Programming Procedure for Pricing American-Style Asian Options
Hatem Ben-Ameur • Michèle Breton • Pierre L’Ecuyer GERAD and Département des Méthodes Quantitatives de Gestion, École des H.E.C., 3000 Chemin de la Côte Sainte-Catherine, Montréal, Canada H3T 2A7 GERAD and Département des Méthodes Quantitatives de Gestion, École des H.E.C., 3000 Chemin de la Côte Sainte-Catherine, Montréal, Canada H3T 2A7 GERAD and Département d’Informatique et de Recherche Opé...
متن کاملA Numerical Procedure for Pricing American-style Asian Options
Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for which no analytical solution is available. Pricing their American-style counterparts, which provide early exercise opportunities, poses the additional difficulty of solving a dynamic optimization problem to determine the optimal exercise stra...
متن کاملUnified Pricing of Asian Options
A simple and numerically stable 2-term partial differential equation characterizing the price of any type of arithmetically averaged Asian option is given. The approach includes both continuously and discretely sampled options and it is easily extended to handle continuous or discrete dividend yields. In contrast to present methods, this approach does not require to implement jump conditions fo...
متن کاملPricing Asian Options on Lattices
Path-dependent options are options whose payoff depends nontrivially on the price history of an asset. They play an important role in financial markets. Unfortunately, pricing path-dependent options could be difficult in terms of speed and/or accuracy. The Asian option is one of the most prominent examples. The Asian option is an option whose payoff depends on the arithmetic average price of th...
متن کاملPricing Asian Options for Jump Diffusions
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. We show that each of the element in this sequence is the unique classical solutions of a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast n...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2014
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2014.935465