Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the in...
Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, ...
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...
Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, ...
Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do ...
Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a longstanding research and practical problem. Asian options can be priced on t...
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with vari...