Feb 24, 2005 · We propose an efficient and accurate randomized approximation algorithm for computing the price of European-Asian options.

We present efficient and accurate approximation algorithms for computing the premium price of Asian options. First, we modify an algorithm developed by ...

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 ...

An efficient and accurate randomized approximation algorithm for computing the price of European- Asian options and a new option named the Saving-Asian ...

This paper develops three polynomial-time techniques for pricing European Asian options with provably small errors, where the stock prices follow binomial ...

This paper develops three polynomial-time techniques for pricing European Asian options with provably small errors, where the stock prices follow binomial ...

Dec 31, 2006 · A fast, accurate and simple method for pricing European–Asian and Saving-Asian options. Algorithmica, 42 (2005), pp. 141-158. CrossRef View in ...

PDF | This paper develops three polynomial-time pricing techniques for European Asian options with provably small errors, where the stock prices follow.

Jan 25, 2015 · We describe a modified binomial method that provides a simple and unified framework for the valuation of various kinds of Asian options.

For European Asian options, our method is much faster than virtually all other convergent methods, including standard. PDE methods. For American options ...