A Dynamic Programming Procedure for Pricing American-Style Asian Options
نویسندگان
چکیده
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 Opérationnelle Université de Montréal, C.P. 6128, Succ. Centre-Ville, Montréal, Canada H3C 3J7 [email protected] • [email protected] • [email protected] http://www.iro.umontreal.ca/ ̃lecuyer
منابع مشابه
A 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 کاملA Numerical Method for Pricing American-style Asian Options under Garch Model
This article develops a numerical method to price American-style Asian option in the context of the generalized autoregressive conditional heteroscedasticity (GARCH) asset return process. The development is based on dynamic programming coupled with the replacement of the normally distributed variable with a binomial one and the whole procedure is under the locally risk-neutral valuation relatio...
متن کاملEfficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European-style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The...
متن کاملDELFT UNIVERSITY OF TECHNOLOGY REPORT 11-11 Efficient Pricing of Asian Options under Lévy Processes based on Fourier Cosine Expansions Part I: European-Style Products
We propose an efficient pricing method for arithmetic, and geometric, Asian options under Lévy processes, based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European–style and American–style Asian options, and for discretely and continuously monitored versions. In the present paper we focus on European–style Asian options; American-style ...
متن کاملA Dynamic Programming Approach for Pricing CDS and CDS Options
We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS options. The default of the underlying reference entity is modeled within a doubly stochastic framework where the default intensity follows a CIR++ process. We estimate the model parameters through a combination of a cross sectional calibratio...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Management Science
دوره 48 شماره
صفحات -
تاریخ انتشار 2002