An efficient convergent lattice algorithm for European Asian options

Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do not depend on past histories. Asian options are popular path-dependent derivatives, and it has been a long-standing problem to price them efficiently and accurately. No known exact pricing formulas are available to price them under the continuous-time Black

• Type: Journal
• Year: 2005
• Where: AMC
• Authors: Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu
• Keywords: AMC 2005, Asian Options, Prices, Pricing Formulas