A fast, accurate and simple method for pricing European-Asian and saving-Asian options

Kenichiro Olita, Kunihiko Sadakane, Akiyoshi Shioura, Takeshi Tokuyama

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We present efficient and accurate approximation algorithms for computing the premium price of Asian options. First, we modify an algorithm developed by Aingworth et al. in SODA 2000 for pricing the Europian-Asian option and improve its accuracy (both theoretically and practically) by transforming it into a randomized algorithm. Then, we present a new option named Saving-Asian option, whose merit is in the middle of European-Asian and American-Asian options, and show that our method works for its pricing.

Original languageEnglish
Title of host publicationAlgorithms - ESA 2002 - 10th Annual European Symposium, Proceedings
EditorsRolf Möhring, Rajeev Raman
PublisherSpringer-Verlag
Pages772-784
Number of pages13
ISBN (Electronic)3540441808, 9783540441809
Publication statusPublished - 2002 Jan 1
Event10th Annual European Symposium on Algorithms, ESA 2002 - Rome, Italy
Duration: 2002 Sep 172002 Sep 21

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume2461
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Other

Other10th Annual European Symposium on Algorithms, ESA 2002
CountryItaly
CityRome
Period02/9/1702/9/21

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

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