Estimating security price derivatives using simulation
Management Science
Path-dependent options: extending the Monte Carlo simulation approach
Management Science
Accelerated simulation for pricing Asian options
Proceedings of the 30th conference on Winter simulation
Simulation in financial engineering: importance sampling in derivative securities pricing
Proceedings of the 32nd conference on Winter simulation
Spectral Expansions for Asian (Average Price) Options
Operations Research
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
SIAM Journal on Scientific Computing
Hi-index | 7.30 |
We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21-31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.