hal-00721958, version 1
Fast binomial procedures for pricing Parisian/ParAsian options
N° RR-8033 (2012)
Résumé : The discrete procedures for pricing Parisian/ParAsian options depend, in general, by three dimensions: time, space, time spent over the barrier. Here we present some combinatorial and lattice procedures which reduce the computational complexity to second order. In the European case the reduction was already given by Lyuu-Wu \cite{WU} and Li-Zhao \cite{LZ}, in this paper we present a more efficient procedure in the Parisian case and a different approach (again of order 2) in the ParAsian case. In the American case we present new procedures which decrease the complexity of the pricing problem for the Parisian/ParAsian knock-in options. The reduction of complexity for Parisian/ParAsian knock-out options is still an open problem.
- a – Università di Udine
- 1 :
- INRIA – Ecole des Ponts ParisTech – Université Paris-Est Marne-la-Vallée (UPEMLV)
- Domaine : Mathématiques/Probabilités
- Référence interne : RR-8033
- hal-00721958, version 1
- http://hal.inria.fr/hal-00721958
- oai:hal.inria.fr:hal-00721958
- Contributeur :
- Soumis le : Mardi 31 Juillet 2012, 10:53:18
- Dernière modification le : Mercredi 1 Août 2012, 09:31:19




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