A dynamic programming procedure for pricing American-style Asian options

Management Science

Volumn 48, Issue 5, 2002, Pages 625-643

  Ben Ameur, Hatem ^a,b   Breton, Michèle ^a   L'Ecuyer, Pierre ^a,b  

^a GERAD   (Canada)

^b UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

American options; Asian options; Bermudan options; Dynamic programming; Option pricing; Path dependent options; Piecewise polynomials

Indexed keywords

ALGORITHMS; CONTRACTS; DYNAMIC PROGRAMMING; FINITE ELEMENT METHOD; POLYNOMIAL APPROXIMATION; RANDOM PROCESSES; SALES;

AMERICAN OPTIONS; ASIAN OPTIONS; BERMUDAN OPTIONS; OPTION PRICING; PATH-DEPENDENT OPTIONS; PIECEWISE POLYNOMIALS;

MARKETING;

EID: 0036564814     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.48.5.625.7803     Document Type: Article

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