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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/43812

Title: Pricing discrete Asian barrier options with lattices
Authors: William Wei-Yuan Hsu
Cheng-Yu Lu
Ming-Yang Kao
Yuh-Dauh Lyuu
Jan-Ming Ho
Contributors: 國立臺灣海洋大學:資訊工程學系
NTOU:Department of Computer Science and Engineering
Keywords: Asian options
barrier options
multinomial model
lattice algorithms
Date: 2012
Issue Date: 2017-11-02
Publisher: 2012 IEEE Symposium on Computational Intelligence for Financial Engineering & Economics (CIFEr)
Abstract: Abstract:Asian barrier options are barrier options whose trigger is based on an average underlying price. They provide the advantages of both Asian options and barrier options. This paper introduces the first quadratic-time lattice algorithm to price European-style Asian barrier options. It is by far the most efficient lattice algorithm with convergence guarantees. The algorithm relies on the Lagrange multipliers to optimally distribute the number of states for each node of the multinomial lattice. We also show experiment results to demonstrate effectiveness and efficiency of our algorithm by comparing with Monte Carlo simulations.
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/43812
Appears in Collections:[資訊工程學系] 演講及研討會

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