摘要
This paper presents simple and fast algorithms for computing very tight upper and lower bounds on the prices of American Asian options in the binomial model.The authors choose two types sets of the actual arithmetic average prices,instead of the simulated values in other existing models,as the representative average prices at each node of the binomial tree.This approach simplifies effectively the computation and reduces the error caused by the linear interpolation.Numerical results show that the approach produces accurate upper and lower bounds compared to the other existing methods based on the binomial tree.
This paper presents simple and fast algorithms for computing very tight upper and lower bounds on the prices of American Asian options in the binomial model.The authors choose two types sets of the actual arithmetic average prices,instead of the simulated values in other existing models,as the representative average prices at each node of the binomial tree.This approach simplifies effectively the computation and reduces the error caused by the linear interpolation.Numerical results show that the approach produces accurate upper and lower bounds compared to the other existing methods based on the binomial tree.
基金
partially supported by China Postdoctoral Science Foundation under Grant No.2012M510377
National Natural Science Foundation of China under Grant Nos.71373043,71331006,and 71171119
the National Social Science Foundation of China under Grant No.11AZD010
Program for New Century Excellent Talents in University under Grant No.NCET-10-0337
Program for Excellent Talents,UIBE
