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A Fast, Accurate and Simple Method for Pricing European-Asian and Saving-Asian Options

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Algorithms — ESA 2002 (ESA 2002)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 2461))

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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.

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References

  1. D. Aingworth, R. Motwani, and J. D. Oldham, Accurate Approximations for Asian Options, Proc. 11th ACM-SIAM SODA (2000), pp. 891–901.

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Author information

Authors and Affiliations

  1. GSIS Tohoku University, USA

    Kenichiro Ohta, Kunihiko Sadakane, Akiyoshi Shioura & Takeshi Tokuyama

  2. DC Card Co., Ltd., Tokyo, Japan

    Kenichiro Ohta

Authors
  1. Kenichiro Ohta
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  2. Kunihiko Sadakane
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  3. Akiyoshi Shioura
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  4. Takeshi Tokuyama
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Editor information

Editors and Affiliations

  1. Fakultät II: Mathematik und Naturwissenschaften, Technische Universität Berlin, Strasse des 17. Juni 136, 10623, Berlin, Germany

    Rolf Möhring

  2. Department of Mathematics and Computer Science, University of Leicester, University Road, LE1 7RH, Leicester, UK

    Rajeev Raman

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© 2002 Springer-Verlag Berlin Heidelberg

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Ohta, K., Sadakane, K., Shioura, A., Tokuyama, T. (2002). A Fast, Accurate and Simple Method for Pricing European-Asian and Saving-Asian Options. In: Möhring, R., Raman, R. (eds) Algorithms — ESA 2002. ESA 2002. Lecture Notes in Computer Science, vol 2461. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45749-6_67

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  • DOI: https://doi.org/10.1007/3-540-45749-6_67

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-44180-9

  • Online ISBN: 978-3-540-45749-7

  • eBook Packages: Springer Book Archive

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