A Remark on the Pricing Problem for Discrete Arithmetic Average Asian Options
نویسندگان
چکیده
منابع مشابه
On the Valuation of Arithmetic-average Asian Options: Integral Representations
This paper has its origin in that developement in the analysis of Asian options initiated by [Y]. Yor’s valuation formula gives clear evidence that pricing Asian options is a problem of some intrinsic difficulty indeed for which no, in the strict sense, simple solution should be expected. Instead, one should, as a first step, ask for structurally clear solutions, and only then, as a second step...
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We prove existence, regularity and a Feynman–Kač representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average. To cite this article: L. Monti, A. Pascucci, C. R. Acad. Sci. Paris, Ser. I 347 (2009). © 2009 Académie des sciences. Published by Elsevier Masson SAS. All rights reserved...
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Since there is no analytic solution for arithmetic average options until present, developing an efficient numerical algorithm becomes a promising alternative. One of the most famous numerical algorithms is introduced by Hull and White (J Deriv 1:21–31, 1993). Motivated by the common idea of reducing the nonlinearity error in the adaptive mesh model in Figlewski and Gao (J Financ Econ 53:313–351...
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ژورنال
عنوان ژورنال: Advances in Applied Mathematics
سال: 2015
ISSN: 2324-7991,2324-8009
DOI: 10.12677/aam.2015.42015