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- W2247882279 abstract "This paper studies the pricing of Arithmetic Asian options with continuous sampling. We derive a new analytical approximate formula to price and hedge the Arithmetic Asian options. The correction to the analytical approximate formula can be evaluated by solving a Partial Differential Equation (PDE) numerically. Numerical experiments show that the error of our semi-analytical approach, i.e., analytical approximation with the correction, is at least of the order of $10^{-5}$, for the options with wide range of parameters tested in this paper. The accuracy can be easily pushed even higher by decreasing the grid size for the computation of the correction term. The CPU time taken for the numerical computation is one to two seconds. Our method is more accurate than any existing methods in the literature, and faster than other PDE methods. With the error well-controlled, our results can be used as a benchmark to justify the error computed by other approximation methods, including Monte Carlo simulation." @default.
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- W2247882279 date "1999-05-07" @default.
- W2247882279 modified "2023-09-26" @default.
- W2247882279 title "Arithmetic Asian Options with Continuous Sampling" @default.
- W2247882279 hasPublicationYear "1999" @default.
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