A fast, accurate, and simple method for pricing European-Asian and Saving-Asian options

摘要

We propose an efficient and accurate randomized approximation algorithm for computing the price of European-Asian options. Our algorithm can be seen as a modification of the approximation algorithm developed by Aingworth et al. (2000) into a randomized algorithm, which improves the accuracy theoretically as well as practically. We also propose a new option named the Saving-Asian option which enjoys advantages of both the European-Asian and American-Asian options. It is shown that our approximation algorithm also works for pricing Saving-Asian options.