Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm

Akiyoshi Shioura, Takeshi Tokuyama

研究成果: Article査読

抄録

Some experimental results to illustrate the performance of randomized approximation algorithm and its derandomized version, are presented. The quality of the option price computed by algorithms are compared with those by other approximation algorithms. The full-path method is implemented to compute the exact price, and approximation algorithms such as the naive Monte Carlo method (MC), the AMO algorithms (AMO-LB, AMO-UB), the DHL algorithms, and the OSST algorithm. A naive method for computing the exact price of European-Asian options, called the full-path method, enumerates all paths in the binomial tree model. The full path method requires an exponential time since there are exponential number of paths in the binomial tree. The error bound of the Mount Carlo method depends volatility of the stock price when a polynomial number of samples are taken by naive sampling.

本文言語English
ページ(範囲)213-219
ページ数7
ジャーナルInformation Processing Letters
100
6
DOI
出版ステータスPublished - 2006 12 31

ASJC Scopus subject areas

  • 理論的コンピュータサイエンス
  • 信号処理
  • 情報システム
  • コンピュータ サイエンスの応用

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