Pricing discrete Asian barrier options on lattices

机译：对点阵亚洲离散障碍期权定价

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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.

机译：亚洲障碍期权是障碍期权，其触发条件基于平均基础价格。它们提供了亚洲期权和障碍期权的优势。本文介绍了第一个二次时间格算法来定价欧式亚洲障碍期权。它是迄今为止最有效的具有收敛性保证的格算法。该算法依靠拉格朗日乘数来优化分配多项式格中每个节点的状态数。我们还展示了实验结果，通过与Monte Carlo仿真进行比较来证明我们算法的有效性和效率。

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来源
《2012 IEEE Conference on Computational Intelligence for Financial Engineering amp; Economics.》|2012年|p.1- 8|共8页
会议地点 New York City NY(US)
作者
Hsu William W. Y.; Lu Cheng-Yu; Kao Ming-Yang; Lyuu Yuh-Dauh; Ho Jan-Ming;
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Institute of Information Science, Academic Sinica, Taiwan;

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原文格式 PDF
正文语种 eng
中图分类人工智能理论;
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1. PRICING DISCRETE EUROPEAN BARRIER OPTIONS USING LATTICE RANDOM WALKS [J] . PER HOERFELT Mathematical finance . 2003,第4期

机译：使用晶格随机游标定价离散欧洲障碍
2. PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER [J] . MARK JOSHI∗ and ROBERT TANG International Journal of Theoretical and Applied Finance . 2010,第5期

机译：对到达障碍物的击打时间进行分层抽样的离散监测障碍物价格和定价
3. Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier [J] . Joshi M., Tang R. International journal of theoretical and applied finance . 2010,第5期

机译：使用对障碍物的击中时间进行分层抽样的离散监控障碍物的定价和增量
4. Pricing discrete Asian barrier options on lattices [C] . Hsu William W. Y., Lu Cheng-Yu, Kao Ming-Yang, IEEE Symposium on Computational Intelligence for Financial Engineering and Economics . 2012

机译：在格子上定价离散的亚洲屏障选择
5. Three essays in mathematical finance: A risk-neutral stochastic volatility model: Analytical and statistical studies. E-ARCH model for term-structure of implied vol of foreign exchange options. A numerical scheme for pricing Asian options. [D] . Zhu, Yingzi. 1997

机译：数学金融方面的三篇论文：风险中性随机波动率模型：分析和统计研究。隐含的外汇期权交易量的期限结构的E-ARCH模型。亚洲期权定价的数字方案。
6. Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model [O] . Jixia Wang, Yameng Zhang 2018

机译：几何平均亚洲期权定价与超大统计力学下的股息产量计算时变模型
7. Pricing Discrete European Barrier Options Using Lattice Random Walks [O] . Per Hörfelt 2002

机译：使用格子随机游动定价离散欧洲障碍期权

Pricing discrete Asian barrier options on lattices

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