Abstract
In this research, we develop a new discrete-time model approach with flexibly changeable driving dynamics for pricing Asian options, with possible early exercise, and a fixed or floating strike price. These options are ubiquitous in financial markets but can also be recast in the framework of real options. Moreover, we derive an accurate lower bound to the price of the European Asian options under stochastic volatility. We also survey theoretical aspects; more specifically, we prove that our tree method for the European Asian option in the binomial model is unconditionally convergent to the continuous-time equivalent. Numerical experiments confirm smooth, monotonic convergence, highly precise performance, and robustness with respect to changing driving dynamics and contract features.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
