Journal
Scientific and technical journal of information technologies, mechanics and optics
UDK519.688
Issue:5 (81)
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METHODS FOR ASIAN OPTION PRICING WITH PAYMENTS OF DISCRETE DIVIDENDS OUT OF AVERAGING PERIOD
Annotation
The article deals with two methods for Asian option pricing with arithmetic averaging and multiple payments of absolute discrete dividends out of averaging period: direct Monte-Carlo simulation and our suggested original method based on Crank-Nicolson finite-difference scheme with analytical Curran approximation as the terminal condition. The comparative analysis shows that the precision provided by the original approach is acceptable for practical problems with the grid settings recommended in the paper for different input parameters. The calculation takes a few milliseconds (or even fractions of ms) on a modern PC against seconds for the Monte-Carlo simulation.
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