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Adaptive placement method on pricing arithmetic average options

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  • Tian-Shyr Dai
  • Jr-Yan Wang
  • Hui-Shan Wei

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  • Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei, 2008. "Adaptive placement method on pricing arithmetic average options," Review of Derivatives Research, Springer, vol. 11(1), pages 83-118, March.
    • Handle: RePEc:kap:revdev:v:11:y:2008:i:1:p:83-118
    DOI: 10.1007/s11147-008-9025-y
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    References listed on IDEAS

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    1. Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
    2. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March.
    3. P. Forsyth & K. Vetzal & R. Zvan, 2002. "Convergence of numerical methods for valuing path-dependent options using interpolation," Review of Derivatives Research, Springer, vol. 5(3), pages 273-314, October.
    4. Figlewski, Stephen & Gao, Bin, 1999. "The adaptive mesh model: a new approach to efficient option pricing," Journal of Financial Economics, Elsevier, vol. 53(3), pages 313-351, September.
    5. Peter Ritchken & Rob Trevor, 1999. "Pricing Options under Generalized GARCH and Stochastic Volatility Processes," Journal of Finance, American Finance Association, vol. 54(1), pages 377-402, February.
    6. Moshe Arye Milevsky & Steven E. Posner, 1999. "Asian Options, The Sum Of Lognormals, And The Reciprocal Gamma Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 7, pages 203-218, World Scientific Publishing Co. Pte. Ltd..
    7. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2002. "Efficient, exact algorithms for asian options with multiresolution lattices," Review of Derivatives Research, Springer, vol. 5(2), pages 181-203, May.
    8. Massimo Costabile & Ivar Massabó & Emilio Russo, 2006. "An adjusted binomial model for pricing Asian options," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 285-296, November.
    9. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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    Cited by:

    1. Ting He, 2020. "Nonparametric Predictive Inference for Asian options," Papers 2008.13082, arXiv.org.
    2. He, Ting, 2023. "An imprecise pricing model for Asian options based on Nonparametric predictive inference," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    3. Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2015. "Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 418-437.

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    More about this item

    Keywords

    Arithmetic average options; Interpolation error; Equally-spaced placement; Adaptive placement; G13;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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