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Efficiently Pricing European-Asian Options — Ultimate Implementation and Analysis of the AMO Algorithm.
- Source :
- Algorithmic Applications in Management; 2005, p291-300, 10p
- Publication Year :
- 2005
-
Abstract
- We propose an efficient and accurate randomized approximation algorithm for pricing a European-Asian option on the binomial tree model. For an option with the strike price X on an n-step binomial tree and any positive integer k, our algorithm runs in O(kn2) time with the error bound O(X/k) which is independent of n. Our algorithm is a modification of the approximation algorithm developed by Aingworth, Motwani, and Oldham (2000) into a randomized algorithm, which improves the accuracy theoretically as well as practically. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISBNs :
- 9783540262244
- Database :
- Supplemental Index
- Journal :
- Algorithmic Applications in Management
- Publication Type :
- Book
- Accession number :
- 32901568
- Full Text :
- https://doi.org/10.1007/11496199_32