Simulation in financial engineering: importance sampling in derivative securities pricing
Proceedings of the 32nd conference on Winter simulation
Modelling Financial Derivatives with Mathematica
Modelling Financial Derivatives with Mathematica
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
Comparison of sequence accelerators forthe Gaver method of numerical Laplace transform inversion
Computers & Mathematics with Applications
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Asian options are notoriously hard to price. Even though they have been the focus of much attention in recent years, there is no single technique which would widely be accepted to price Asian options for all choices of market parameters. In practice, estimation of price sensitivities is often as important as evaluation of the prices themselves since price sensitives are important measures of risk. The main goal of this paper is to demonstrate how high-precision methods can be used to efficiently price and estimate the market sensitivities of an arithmetic Asian option.