Αλγόριθμοι υπολογισμού της αξίας ασιατικών δικαιωμάτων σε γραφήματα
Γιακουμάκη, Ολγα Χ.
One of the most important problems in financial field is the option pricing with accurate and fast algorithms. In academic literature there are a lot of pricing methods. These methods can be grouped into three different categories: approximation analytical formulae, Monte-Carlo simulations, and the lattice approach. Asian options are popular path-dependent derivatives, and it has been a long-standing problem to price them accurately and fastly. The goal of this dissertation is the presentation of algorithms that reduce the pricing time of Asian options, Eurorean or American, when the pricing method is based on lattice.