https://scholars.lib.ntu.edu.tw/handle/123456789/165872
標題: | Extremely Accurate and Efficient Algorithms for European-Style Asian Options with Range Bounds | 作者: | Dai, Tian-Shyr Huang, Guan-Shieng Lyuu, Yuh-Dauh |
公開日期: | 2-一月-2002 | 出版社: | 臺北市:國立臺灣大學財務金融學系 | 摘要: | Asian options can be priced on the unrecombining binomial tree.Unfor- tunately,without approximation,the running time is exponential.This pa- per presents e fficient and extremely accurate approximation algorithms for European-style Asian options on the binomial tree.For a European-style Asian option with strike price X on an n -perio binomial tree,our algorithm runs in O (kn 2 )time with a guaranteed error bound of O (X √n/k )for any positive integer k .Parameter k can be adjusted for any esired trade-o ffbetween time and accuracy.This basic algorithm is then mo i fied to give increasingly tighter upper and lower bounds (or range bounds )that bracket the desired option value while maintaining the same computational e fficiency.As the upper and lower bounds are essentially numerically identical in practice,the proposed al- gorithms can be said to price European-style Asian options exactly without combinatorial explosion.Our results also imply for the first time in the lit- erature that the popular Hull-White algorithms are upper-bound algorithms. Extensive computer experiments are conducted to con firm the extreme accu- racy of the algorithms and their competitiveness in comparison with alternative schemes. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/2006092712273138240 | 其他識別: | 2006092712273138240 |
顯示於: | 財務金融學系 |
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