Efficient reconfigurable design for pricing asian options
نویسندگان
چکیده
منابع مشابه
Unified 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...
متن کاملPricing Asian Options for Jump Diffusion
We construct a sequence of functions that uniformly converge (on compact sets) to the price of an Asian option, which is written on a stock whose dynamics follow a jump diffusion. The convergence is exponentially fast. We show that each element in this sequence is the unique classical solution of a parabolic partial differential equation (not an integro-differential equation). As a result we ob...
متن کاملAccurate pricing formulas for Asian options
Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist for these popular options, how to price them numerically in an efficient and accurate manner has been extensively investigated. There are two types of Asian options, fixed-strike and floating-strike Asian options. Excel...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ACM SIGARCH Computer Architecture News
سال: 2010
ISSN: 0163-5964
DOI: 10.1145/1926367.1926371