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首页> 外文会议>Proceedings of the Third IASTED International Conference on Financial Engineering and Applications >EFFICIENT PRICING OF DISCRETE ASIAN OPTIONS
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EFFICIENT PRICING OF DISCRETE ASIAN OPTIONS

机译：离散亚洲期权的有效定价

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摘要

Asian options are popular path-dependent financial derivatives.This paper uses lattices to price Asian options that are discretely monitored, which is the case in practice in contrast to the continuouslymonitored version usually encountered in the literature. This paper presents the first provably quadratic-time convergent lattice algorithmfor pricing European-style discretely monitored Asian options. It is the most efficient lattice algorithm with convergence guarantees.The algorithm relies on the Lagrange multipliers to choose the number of states for each node of the lattice.Extensive numerical experiments and comparisons with many existing numerical methods confirm the performance claims and the competitiveness of our algorithm.Some- what surprisingly, this result places European-style discretely monitored Asian options in the same complexity class as vanilla options.
机译：亚洲期权是流行的依赖于路径的金融衍生产品。本文使用网格为离散监控的亚洲期权定价，与文献中经常遇到的持续监控版本相比，在实践中就是这种情况。本文提出了第一个可证明的二次时间收敛格算法，用于对欧式离散监测的亚洲期权定价。它是最有效的具有收敛性保证的晶格算法，该算法依靠Lagrange乘数来选择晶格每个节点的状态数。大量的数值实验以及与许多现有数值方法的比较证实了我们的性能要求和竞争力。出乎意料的是，此结果使欧式离散监控的亚洲期权与普通期权处于同一复杂度等级。

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