Efficient Pricing of Asian Options by The PDE Appr

See discussions, stats, and author profiles for this publication at: https://www.researchgate.
net/publication/228290123
Efficient Pricing of Asian Options by the PDE Approach
Article in Journal of Computational Finance · April 2005

DOI: 10.21314/JCF.2005.138
CITATIONS READS
59 1,243
2 authors, including:
Tony Lelièvre
École des Ponts ParisTech
197 PUBLICATIONS 4,833 CITATIONS
SEE PROFILE
Some of the authors of this publication are also working on these related projects:
IPAM Long Program: Complex High-Dimensional Energy Landscapes View project
Implementation of the Generalized Parallel Replica (ParRep) algorithm, and applications to biochemical systems View project
All content following this page was uploaded by Tony Lelièvre on 03 June 2014.
The user has requested enhancement of the downloaded file.

!#" $%'&)(+*, -. /0&21 ∗
53 47698:<;>=@?BA!C'DE;>=F? G0H ;>8JILKMONF=@PRQ4M
1 2
S'TUOVXWZY\[]^\T_`Y\Wbac]^\_`T7UO]d>eRWfV5ghYX^\V5WZÊikjl^\_mWlY\Vfnpoq7orY\sOWbtR]_Ùu^Xv@i ]YX^\_Ùwnyx7z{7{7|}np~J]Y\_`Vfny<Y]U<fW7
S ikS0tpnO.ZT7d`Wba ]^\_`TUy]d`We<WZV5~>T7Uu^\V5WZ^cS'y]s<VXVXjfWfVfny--g9[.~J]VXf]dnx7xuzz/S'y]/<VvVXs<YXv@i ]Y\U<W7n<<Y]U<fW7
1
v]_mdJe<sOT_`VcfUy] YnOd`Wfd`_`Wf[uY\WcfWlY\/_mZVf WZUO7 Y

2
>698 C0694I9>9¡
¢B£¤¥¦§¨}¥
«© ªb¬<®¯°±ª²³l´pªµ¶R²³Z°¶R·p±°¸9ª²lª®<³Z°¶R·pª¹Oº¶}³l°R®kµp²ZRµ9<¯lª±¼»O½k¾R¿<ª²f¯¶}®±ÁÀy´p°°®Â ÃÄw¶R®±
ªÅyµ·¶R°®Æ³Z´pªÈÇÁ¶}°®É±°ÊB¬ºp·³l°ª¯rª®w¬Rº®<³Zª²Zª±!Ë´pª®É¶}µpµ·½y°®p¿Ì¯³Z¶}®w±p¶}²f±!®OºÇkª²l°¬¶R·¯Z¬f´pªÇ ª7¯
<®L³l´°¯!ÍhÎrÏÐ¶<¯Ñ¯lº¬f´ ÒÓ©«ªÔ³l´pª®µp²ZRµ9<¯lªÔ¶Õ¯l¬f´pªÇ ªÉË´p°¬f´°¯Æ¶}»p·ª³ZÕµp²Z±º¬ªÉÖRª²l½
¹Oºp°¬f×y·½ÙØ°®Ú·ª¯Z¯³l´w¶}®ÛR®pªÁ¯lª¬R®±ÔR®Ú¶!ÍcÜÝª¹Oºp°µpµwª7±«Ë°m³Z´Þ¶ÔßBà-áâÁãX®<³Zª·5Íª®<³Z°ºÇäããlã
Ç °¬²ZRµp²Z¬ª¯Z¯lR²å ¶R¬¬ºp²f¶u³lªÉ²lª7¯ºp·³Z¯«Ø¶}³!·ª¶<¯\³æÞ±°¿R°³Z¯!Rçµp²lª7¬°¯°R®9åÒè©ÔªÛ¬<Ç µ¶}²ZªRº²
¶Rµpµp²Z<¶R¬f´ÑË°m³Z´!³l´pª¯Z¬f´pªÇ ª7¯ µp²l<µwO¯ª7±B°®!³l´pª/·°m³l³lª²Z¶}³lºp²ZªRÒ
éÆê7ëyìíyîïOðuñròkóôõOöÕ÷¼øJùôûúyö ó}ü ý õOþùôõOÿ kôþ öùôõOÿ .õOùôûúyö5ü .õOþõ ù þôûóùô ù ú
!#"%$'&'()+*,"-
. ö ùJôûóõOþùôÿü0/12/rúJÿ ÿô435«ùú6879øJÿõOôö9/: ; óùõOö< õOþ ù=JöJô><uóJú2ö úyù?;wôÿ õ=@JþõOù
þuóJÿùóBAúyþù<Õóúyÿ4Jùôûúyö úCABù<Ùø.õOþùôõOÿ>ôþöùôõOÿ%=>.õOùôûúyö+þJÿôöED ù<ÞøJþô=ÙúCAÌõOö ò¼óôõOö
úyøJùôûúyöGF ó=HJILKNM8O
 ∂f σ2 ξ 2 ∂ 2 f 1 ∂f

+ − + rξ = 0, FQPRM
 ∂t 2 ∂ξ 2 T ∂ξ
/:< þ õOö< ù<87>øJþuóóôûúyöúCA Eø ö<JóÌúyöLù<ø.õ=;púC+úCA-ù<úyøJùôûúyöSFó=2T=ùôûúyöVU
f (T, ξ) = φ(ξ).
Aúyþ?EùξõOôÿû≥óWM8Y 0
XZ[//ôÿÿ AXú>@ óÆúyö ö Eφþô}õOÿ:ù úJó'\.õyó=úyö ùJôûóÆý0]-_^)ù? ó!õOÿûóú`öa
ùôûúyöóú2b úyöùc-õOþÿûúÙõOøJøJþúpõ<uódFó=`HJeLKNM7ühóúfù úJó\.õyó,=LúyöõOö.õOÿ4;9ùô}õOÿrúyþÌó@ôa
õOö.õOÿ4w; ùô} õOÿóúyÿ4Jùôûúyö óF ó,=[H4PgpP ü hLKN¼M õOö< õOÿûóúÔóú õOøJøJþúi97 ô4É õOùôûúyö ó%ù úJófFó=cHkj9ü#lLKNM8%mn<
õyo õOöwùõCD5 úCrA ù<Æ ý0] õOøJøJþúpõ ôûó¼ù. õOù ôù ôûópD5 ö< þõOÿÿ4;`\A õyóù þkù. õOöZÕb úyöwù-õOþÿûúc ù ú>J ó}ü
õOö<Ù ù. õOù ôùD ô4o5u ó¼ù<Ñ þu óJÿùóXA úyþ õOÿÿcôöJôùôõOÿEøJþô=u ó XF õOö<6@o5 ö`XA úyþ õOÿÿ óùþô435u ó úyþÁõOÿÿÉ õLa
ùJþôùôu ó T ôö óúq} õyó,u óWM8mn<'> þõ=/:.\ õ,Õ3 ôûó ó.õOÿSÿ4Þ; 0 ù. õOùkù<! ö E þô} õOÿ_ ù úKJ ó õOþr úyþ
u ú øJÿô} õOù= ùú«ô4 øJÿ@ öùqA úyþ ý0]ü\EJù]/?D ô4o5?< þ õÔö E þô} õOÿó<@?/:J ô, ôûó þ} õOÿÿ4;
óô4 øJÿÁ ùúfu úEg0mnJ ôûóÈó,<@%. õyó:\ = öÞô4 øJÿ@ öwù=Ù ôöÚùÑ x îfí}ïR ê7îð, }N «
ôöH4P8KN M õOö<+ ù<Ù óúJþ=u ú>EÙ ôûóÔõ=o õOôÿõCJ\ ÿÙ
úyö ù<Þ
ôöwù þö< ù6F ó=
ùùø)OkgC= þ ôu ói öJø g A þW ÿ ÿô@wo þR< þõOøJøúyþùóWO òkóôõ ùõOþi DgLM8
∼
'"%$r
XZkõJúyøJùù<kóùõOö< õOþ[ÿõ,3ÔõOö<cT, úyÿuónú>EÿFó=rH gKNM_//ôùÚõBþôûó3>;Éõyóó,ù /: úó¼øJþô=kõOù
ùô4 ôûó õOö<Ù õ!ö úCa\þôûó3Þõyóóù:/: úó, øJþô=ÌõOùùô4 ôûó 0 üJó<,Þù.õOùqO
t St t St
dSt = St (µ dt + σdBt ),
∗ tRsO</_ ^X^\We^\T17T7sRY\Uy]d9T S'T7/OsR^]^\_`T7UO]dw>_Ùy]U<fW7
P
dSt0 = rSt0 dt.
mn</øJþú=uóó ôûóbõ óùõOö< õOþþúi//öJôõOö[úyùôûúyöBE ö<=úyöÉõkøJþú\.õC\Jôÿôù ;óø.õ= F, Ft ,Q) ü
õOö< µ ü r @F ù<BÑtôöwùþuóù þõOùRM7ü σ > 0 F@ù<ropúyÿõOùôÿôùs;EM õOþ!ùJþ=?uúyö óùõOöwùói%XZ!ô(Ω,
öùþú<=Æùl<
óùú. õyóùôÆ øJþú=u óó Wt = Bt + µ−r t ¼ö<EþÁù<!ö<@JùþõOÿbþôûó3ÙøJþú\.õC\Jôÿôùs; IP ü /1?3wö úR/ù.õOù
ôûó/õÉ õOþùôöED õOÿ õOö<Ô ù. õOù Wσ t ôûó-õþúi//öJôõOöcúyùôûúyö)0mn<¼øJþú=uóó St ôûó-óúyÿ4Jùôûúyö«úCA5ù<
AúyÿÿûúR/
St /St0
/ ôöEÔ D óùú. õyóùô> ô þ öwùôõOÿ=>.õOùôûúyö Jö<E þ O
IP
F U5M
dSt = St (r dt + σdWt ).
XZõOþ rôöù þ uóùôEö DÁô'
ö uúøEJùôöEDÁù<røJþô=-úCAõOö!òkóôõOöÆúyøJùôûúyö'//ôù'ÉõOùJþôù ; ü/:Jô?}õOö ó
ù.õOù-ù<kúyøJùôûúyöÛø.õi;púC g(S, A) Eø#ö<Jó/úyöÛù<¼øJþô= S úCAhù<kþôûó3;Ôõyóóù/õOö<TÛúyöÔù<p}õOö
Cú A ù <ÁøJþô = O T
A T tS
1
Z t
At = Su du.
.ù/ôûó-/ÿÿa 39ö iú //öÙù.õOùÈôöÞùJôûó:úEÿ\üJù<ÁøJþô=BúCA ù <ÁúyøJùôûúyöÕõOùùô4 ôûó:Dô4o5ö
t 0
\>;#O
t
e−r(T −t) IE(g(ST , AT )|Ft ).

bÕúyþuúRo5þ}ü.úyö<}õOö ,<=3Úù.õOùôA ôûóÈóúyÿ4JùôûúyöÙúCA ù<]AúyÿÿûúR//ôöEDÉý0]Fó,=H4PiULKNM8O
V
σ2 S 2 ∂ 2 V

 ∂V ∂V 1 ∂V F h5M
+ 2
+ rS + (S − A) − rV = 0,
 ∂t 2 ∂S ∂S t ∂A
V (T, S, A) = g(S, A).
ù<ö e−rt V (t, St , At )
ôûóÈõ IP
a ÉõOþùôöEDõOÿÑóúÆù.õOùù<ÁøJþô=ÌõOù/ùô4
t
ôûó:Dô4o5ö`\ ; O
e−r(T −t) IE(g(ST , AT )|Ft ) = V (t, St , At ).

mn< ý0] F h5Môûón>ôB@Jÿù/ùú!óúyÿ4o5 õyó-ó<,Úóôö<=kù<¼ø.õOþõC\úyÿôÁúyø þõOùúyþôûónE@D5ö<þõOù=Úôö
ù< Aa oõOþôõC\JÿBFó=fH4PiUKNM8
kúi/@o5 þ}üwõyó5þ@É
õOþ35=r\ ;tÈúD5þó õOö<'T>Jôwôö[HJICKüRAXúyþE7E=Ìóùþô435}õOÿÿ#F +M
úyþE7E=Ì óùþô435 øEJù:F g(S, A) = (K −A)+ M7üOôùEôûóEø'úóóô4\Jÿbùú¼þ=<=pF h5M5ùú¼ùg(S, <rý0A) M8_.ö<E==0ü
]=FQPR(A−K)
ôA ôûóóúyÿ4JùôûúyöÕúCA:FQPRM1// ôù
f φ(ξ) = max(−ξ, 0) = ξ − F@þuóø) φ(ξ) = max(ξ, 0) = ξ + M7üJù<ö
K − tA/T

FN>M
V (t, S, A) = Sf t,
S
ûô óhóúyÿ4Jùôûúyö!úCAF h5M //ôù g(S, A) = (A−K) F@þuóø) g(S, A) = (K−A) M8mnJôûóhþ=<ùôûúyöúCA)F h5M
ùúdFQPRMrôûóõOÿûóú!ø'úóóô4\JÿuAXúyþ .úpõOùôöEDóùþô435%}õOÿÿ0F g(S, A) = (S − A) MF@þuóø){Aúyþ .úpõOùôöEDÉóùþô435
+ +
Eø JùF MM0\ ;Ôó,ùùôöED õOö< F@þuóø)

+

M8 úyþ¼? õ Eþ4ô oõOùôûúyöÕCú AbõOö =>.õOùôûúyöÙóô4ôÿõOþùú`FQPRM óôöEDÔõOöÚôöùþøJþùõOùôûúyö úCA
+ tA
g(S, A) = (A − S) V (t, S, A) = Sf t, − TS φ(ξ) = (1 + ξ) −
ò¼óôõOöÞúyøJùôûúyö ó¼õyóúyøJùôûúyö ó¼úyöÙõÆùþõ E=Ùõ=uúJöù}üó=fH4PCK

φ(ξ) = (1 + ξ) +
kúyùô =Úù .õOùÉ0ý ]F h5M!ôûfó úyþ dD5<ö þõOÿkóô<ö =Ûù <Úþ =<ùôûúyö+ùú FQPRM!ôûóúyöJ4ÿ ; ø'úóó4ô \Jÿ 2Aúyþ
óø =ô !Ñø.iõ ;pCú Ró bÕúyþ uRú o5þ}ü5úy<ö ?}õOöõOÿûóúÔö úyùô =Æù .õOù óúy4ÿ owôEö DZF h5M-Aúy%þ >ô þ ö%ù ÉõOù Jþôùô uó T
J>ú uóbö úyùb4ô øJ4ÿ ;ÑùúBþ =uú Eø Jùù <:/: úyÿ óúy4ÿ Jùôûúyö5ü uúyöùþõOþ ;ùú FQPRM8_.löù <nAXúyÿÿûiú //ôEö D >ü /nAX>ú @ ó
úy`ö uú Eø JùôEö D>ö Eþô }õOÿcóúy4ÿ Jùôûúyö óÈùú FQPRMAXúyþÈ?õ }õOÿÿ O
F e5M
φ(ξ) = ξ − .
¼úyùô=¼ù.õOùù<¼óúyÿ4Jùôûúyö2//ôù φ(ξ) = ξ F@øEJùWM0}õOö2\ ù<öÛú\JùõOôö<=[\>;ù<u}õOÿÿa\øEJù-ø.õOþôùs;#O
+
ýbþô =BCú Acù <BEø Jù (t = 0, S ) = ýþô=BúCA ù<}õOÿÿ (t = 0, S ) − e S e − 1 − K .

0 0
−rT 0 rT
rT
U
'v]&'_ *(-!( '0
mn<: <uóùôûúyöf/n/õOöwùbùúBõE>þuóóôûó ù<1AXúyÿÿûúi//ôöED<{XS<öúyö<n/õOöwùóbùú%uúøEJù/ù<-óúyÿ4Jùôûúyö
úCcA ù<qÿõyóóô}õOÿ)ÿõ3>a T úyÿuóp= .õOùôûúyö)O
σ2 S 2 ∂ 2 P

 ∂P
+ + rS
∂P
− rP = 0, F5M
2
 ∂t 2 ∂S ∂S
P (T, S) = ψ(S),
õÆóô4øJÿ öJôù>ôþö<=Bó,<@Bÿ}õJó/ùúo5þ;«óõOùôûóAXõùúyþ;«þuóJÿùi
÷¼ö«ù<kúyù<þ1.õOö<0ü/:<öÚúyöôþö<= ó<@ úyö FQPRM7ü9úyö< ú\JùõOôö ó
o5þ ;f\.õ ÉþuóJÿùó}ü>uóø#=ôõOÿÿ4;f/:<ö«ù<uopúyÿõOùôÿôùs; ôûóóÉõOÿÿ_Fó= cô4DgJþ'PRM8mn<uó-\.õÔþuóJÿùó
õOþ u<¼ùúBù <uAXõ ùrù .õOù /:<ö ξ ôûó ÿûú,ó ùú iþúJü9σù <kõo5=ùô4o5¼ùþ + rξ ôûórÿõOþD5þrù.õOö
1
ù<>ô óôûúyöÚù þ σ2 ξ 2
T
þ 8A~þ <ö =oyõO4ÿ < =öù þ =Õó <@

2
AXúyþù <Bõ o5=ùôûúyöÕúyø þõOùúyþ

jJh 5j jJUglge
σ = 0.3, I = 100, N = 1000
jJh 5j jJh C h
σ = 0.3, I = 600, N = 1000
jJh 5j jJh CJô4oyõOÿöwùÿ4;püpõu=öwùþ=Æó<@
Aúyþù<Èõo5=ùôûúyö«úyø þõOùúyþimn</ö>Eq\ þó õOö< Eö úyùþuóø =ùô4o5ÿ4;ù</ö>Eq\ þúCA5óø.õ=
óù ø óõOö< ù<Ô ö>Eq\ þÉúCAÈùô4Ûóùø ói õOIÿ4<uóúCNAkúyù<þø.õOþõCùþóiO S0 = 100 ü K = 100 ü
r = 0.02 T = 1
ü E
m õCJ\ ÿ%A þú HCK
XS.õOù/1¼øJþúyøúó¼ùúÆóúyÿ4o5ÈùJôûóøJþú\Jÿ@ ôûóùúq ó,kõr.õOþõùþôûóùô]ù ú FN\.õyó=«úyö«ù<

óúyÿ4Jùôûúyö úCA = 1/T M7ü'ùúD5ùkþôÙúCAbù<Ñùþ -mnJôûóp}õOö ó¼ù.õOù/1Ìø þQAXúyþ ù<'.õOöED5
úCA{oõOþôCõ \JÿgO
dx
dt
1
T
F jgM
÷¼ö<}õOö`}õyóôÿ4;Ûó úR/ ù.õOù g ôûóóúyÿ4JùôûúyöÕúCAQO
g(t, x) = f (t, x − t/T ).
σ 2 (x − t/T )2 ∂ 2 g

 ∂g
+ 2
− r (x − t/T )
∂g
= 0, F I5M
∂t 2 ∂x ∂x
g(T, x) = φ(x − 1) = (1 − x)+ .

n'êYíï |mðuíN } \í9í"!#ûê$ê%ëZê$ÑîW}Xï í w N>êY|pïê&~}('yê ê7î%ê*)ëLðí+,'i}N>

|' ï-N>êîê w íyîê.)7ëígJðW}Xïê7î8} rt − 1 0/5í1íì} >2N>ê
ð@dt|Éê3Éê$N> í}ï O| ðêz4!#4|}N' êï2)ê%íì65íg'êf|7N>ê8í8)& |} 9'Oê7î7ëd| rT$9îQ|+êÉîêð4:íG|fêí+ê&îW}

dx 1
= rx + 1/T h(t, y) = f t, ye
Éêð,<X; ð}êê>=s@? w íyî-N> ê ïê& |}( ðBA5<BC íD~}~ ê*N|+3N } ð@|> ê í w 'L|yî8}~|E)%ê6}ðdí+F'L| }Xï w íyîdGE1
} # ê7îê7ð%r
îQ|+ êR
mn<Bý0] óõOùôûó !=d\>; ôûóÈó<,Þù.õOù-/:<öÞù<Ìõo5=ùô4o5Ìùþ ôûóÈóÉõOÿÿ\üJù<
g r (x − t/T )
>ô# óôûúyöÚù þ σ2 (x − t/T )2 ôûóõOÿûóúóÉõOÿÿ mn<>þõi/:\.õ3ÚúCAEùJôûóu.õOöED5BúCA{oyõOþôõC\Jÿ ôûó/ù.õOù
ù<Á õo5= ùô4o5 õOö<c>ô 2 óôûúyöÛùþóö úi/ Eø ö<ÔúyöÛùô4gO ùJôûó1}õOö ó-ù.õOù}ü>úyö<=¼ù<køJþú\Jÿ@
ôûó-> ôûó þ ùô4i=0 ü.ù<]ÉõOùþô=uó¼õOþuúøEJù=2õOö<Úôö o5þù=2õOù-}õÙùô4Áóùø)
mn<]\A õ ù/ù. õOùrF ó=fHJICKNM ü
∀ξ ≤ 0
1 F l5M
f (t, ξ) = (1 − e−r(T −t) ) − ξe−r(T −t)
rT
h
;wôÿJó:Aúyþ ù.õOù ü
g ∀x ≤ t/T
1 FQP5M
g(t, x) = (1 − e−r(T −t) ) − (x − t/T )e−r(T −t) .
mhúqJö<EþóùõOö<AXúyþqJÿõ[F l5M{Aþú,õÁý p øúyôöùúCA o9ô@/Büúyö<}õOöÉö úyùô=Èù.õOù D ô4o5öB\>;`F l5M ôûó
rT
óúyÿ4Jùôûúyö«ùú2FQPRM // ôù φ(ξ) = −ξ ü9õOö<Ô ù.õOù}ü<ÈùúÑù<uAXõùù.õOùrù<]>ô óôûúyö«f ùþ ôûóö Jÿÿ+AXúyþ
õOö<Ù ù. õOù¼ù<Ñ õo5= ùô4o5! ù þ ôûóÈö<@D õOùô4o5 ü'ù<Ì óúyÿ4Jùôûúyö2ùúFQPRMnA úyþ φ(ξ) = ξ− úyö ξ ≤ 0
ôûó/ù ôûó þ ùô4iF I57M ü:/1Y ó2 õ9rþõOöE3>a Èôu úyÿûóúyöèùô42 ó<@ üu// ôù õZJöJôXA úyþ ùô4Õ óù ø
F E ö úyùu óÞù<Õ ö>Eq\ þÙúCÑ A ùô4u óù ø óWM8 XZY- / õOöùÞùúV ó2 ù<Y\A õ ù«ù. õOù ôûó
õOö.õOÿ4w; ùô} õOÿÿ4;993 ö úi// ö+úyö x ≤ t/T F ó= úyþqJÿõ FQP 5MM8 mn< þ8XA úyþ üôöÝúyþE þù. õOùÉù<cgu ó
δt = T /N N
øJþúyø# þÿ4;d> ôûó þ ùô4iu óÈù<%\ úyþE þ x = t/T üE/Ñ õOÿûóúf ó N óø.õ=B óù ø óÈùúf> ôûó þ ùô4iB ù<Ì óø.õ=
ôöù þo õOÿ (0, 1) F ó= cô4DgJþBU5M8cmn< óø.õ=É óù øLôûóBù< þ8XA úyþ δx = 1/N BXZÉ ù< öGu ú øJÿ ù
ù<pu óc\# õE> ôöED J ôöù þo õOÿûóúyöÛù<k þô4Dg ùn. õOö<Ú óôEk úCA x = 1 ü9óúÑù. õOù x ∈ (0, xmax ) // ôù

kúyùô= ù. õOù!õOùÁùô4 ühù< ö Er\# þÆúCA1JöE93 ö úi// ö óÑôûó (N + J − n) [mnJ ôûó} õOö ó
xmax = (N + J) δx
ù. õOùùôù-ôûóþ}õOÿÿ4;[}õyó;ùú?>ôûóþùô4i ù< úyø þõOùúyþó-ôö opúyÿ4o9ôöEDEþô4oyõLa
ùô4o5uóúCA x XS.õO:ù /% ó Bôûó-ù <]AúyÿÿûRú //ôEö D[=>.õOùôûúyöÙúyö g Eü =>Jô4oõOÿöùÈùú F I5M8O
 ∂g σ2 ∂ ∂g ∂g

FQPgPRM

+ (x − t/T )2 − (r + σ 2 ) (x − t/T ) = 0,
 ∂t 2 ∂x ∂x ∂x
g(T, x) = φ(x − 1) = (1 − x)+ .
óúÆù.õOùÈúyö<}õOöd ó,Áù<pAúyÿÿûúR//ôöED«õOøJøJþúi79ô4ÉõOùôûúyö óiO
∂ ∂g

(x − t/T )2 (t, xi ) '
∂x ∂x
1 g(t, xi+1 ) − g(t, xi ) g(t, xi ) − g(t, xi−1 )

(xi+0.5 − t/T )2 − (xi−0.5 − t/T )2 ,
δx δx δx
∂g
(x − t/T ) (t, xi ) '
∂x
1 g(t, xi+1 ) − g(t, xi ) g(t, xi ) − g(t, xi−1 )

(xi+0.5 − t/T ) + (xi−0.5 − t/T ) ,
2 δx δx

//ôù õOö< 2mn<fÉõOùþô=uó!ú\JùõOôö<=õOþùþô>ôõCDpúyö.õOÿ\ücóúÚù.õOù
ù<@;2}xõOiö`=\# i δxôö>o5þù= xi+0.5
//ôù`= ^ (i+ù0.5)
úcδx //ôùÞÿôö<}õOþuuúøJÿ87>ôù ;5
òkó%\A õOþÑõyó%\úJö< õOþ;Zuúyö<>ôùôûúyö ó!õOþ[uúyö<=þö<=0ü/1 óÔõdkôþôJÿù'\'úJö< õOþ;Zuúyö<>ôùôûúyö
úyö x = t/T óôöED`FQP 5M/õOö<Ù õZõOþùô!ôõOÿiþú @EÉõOöJö \úJö< õOþ;duúyö<>ôùôûúyöÙúyö x = xmax
côö.õOÿÿ4p; ü/p ó ôöwù þø'úyÿõOùôûúyöÞúCA{E@D þ=pÌh ôö«óø.õ=È ùú'u ú øEJùk ù<È øJþô= üJõOö<«úCA E@Dþ=]U
ôöÞóø.õ=Á ùúu ú øEJùB ù<E ÿùõ0mnJ ôûó->.õOöùôùôu ó õOþ]D ô4o5 ö`\>;6F ó=pXA úyþqJÿõFN>MM8O
øJþô= = S0 f 0,
K

= S0 g 0,
K

,

FQPiU5M
S0 S0
Eÿùõ
K

K ∂f K

K

K ∂g K

FQPih5M
= f 0, − 0, = g 0, − 0, .
XZ%/úJÿÚÿô435Áùú@øE.õyóô4iBù.õOùÈúJþö Eþô}õOÿcó<@gO
S0 S0 ∂x S0 S0 S0 ∂x S0
}õOö .õOö<>ÿ2ö<@DõOùô4o52úyþciþúôöùþuóùÛþõOù ü:/:Jôèôûó«ô4øúyþùõOöùÚôAÌúyö<2ùõC35uó«ôöùú

•
õ=uúJöwùÈóú]>ô4owôEö<ÛþõOù d Fóôö<=¼ôöÚùJôûó:r}õyó,ü r ôûóþøJÿõ==d\ ; r − d õOö<BAXúyþqJÿõyó
FQPiU5/
M õOö<GFQPih5MA úyþ/øJþô=Ñ
õOö< EÿùõõOþ]qJÿùôøJÿô=\ ; −dT M7ü
e
}õOöÕõOÿûóú?.õOö<>ÿÌù<%}õyóBúCA ùô48a Eø#ö<EöwùÈôöwùþuóùÈþõOù õOö<dopúyÿõOùôÿôùs; σ
• r
^)ùc óÔøJþ=ôûó2ùJôûóÔÿõyóùÔøúyôöùi . AÌúyö<uúyö óôEþóÚõùô48a Eø#<ö EöwùÞôöù þ uóù«þõOù
õOö<opúyÿõOùôÿôù ; σ(t) üôùôûó}õyó;ùúó úR/ ù.õOùÔõ óúyÿ4Jùôûúyö+ùú F U5Mr//ôù r(t) õO<ö σ(t) }õOör(t) \
ú\JùõOôö<=\ ;uúyö óôEþôöED õóúyÿ4Jùôûúyö ùú FQPRMr//ôù r(t) õOö< σ(t) bÕúyþ uRú o5þ}üôöÝù <d}õyóÚúCA
õ }õOÿÿ\ü:Aúyþ287JõCøJÿü'F φ(ξ) = ξ M7ü-/.õ=o5õOÿûóú õOöèõOö.õOÿ4;9ùô }õOÿkóúy4ÿ Jùôûúyö AXúyþ ξ ≤ 0 D4ô o5ö
\ ; 2mnJôûóÌó iú /óÑù .õOùÌù <>ö Eþô }õOÿ
−
ù ú>dEuó,þô4\#=ÞõC\úio5}õOöd\ ]}õyóôÿ4;«õ õOøJù =ÞùúÆù <%}õyó ÁCú AEù4ô 8a Eø <ö Eöù¼ôöù þ uóùþõOù
1 T R R T R T
f (t, ξ) = T t exp(− s r du) ds − ξ exp(−
u r ds)
t s
õOö<copúyÿõOùôÿôùs; σ
kúyùô=/ù.õOùúJþ0ù ú}õOöJö úyùrõOøJøJ4ÿ ;Æùú a E#ø <ö Eöwù-ôöù þ uóùbþõOù ¼õO<ö fopúyÿõOùôÿôù ;pü
r
87=øJùÁôöù<f}õy,ó Cú A õO<ö r(t, S, A) = ρ t, F AXúyþ E7=
(t, S, A)
óùþô435'}õOÿÿ õOö<ÕEø JùWM8.lù ó =@óÈù .õOù ùBú .õO<ö >ÿ ÆBõ D5<ö þõOÿ (t, S, A)a Eø <ö E<ö @;pü5úy<ö Ñ<ö ==Jókùú

K−tA/T K−tA/T
σ(t, S, A) = η t, S S
óúy4ÿ o5%>ôþ =ù4ÿ ;ZF h5M8

"u p&?_ *( ud# +&r#
Èò ÿÿ0ù< ö>Eþô}õOÿ5þuóJÿùó/øJþuó,öù=ÙõOö<Úù<%uúøEJùõOùôûúyö.õOÿEùô4uó:.õ=o5\#=öÚú\JùõOôö<= //ôù
õÑøJþúDþõC //þôùùöÚôö`èõOö<ÔþJöÞúyöÞõ!ýS=>JôøJø#=c//ôùÙõ2P %.öwùÿ5ýöwùô4E ..._ôþúCa
øJþú>=uóóúyþi
XZf.iõ o5B úó,öù<ö>Eq\ þ!úCA/ôöùþoõOÿûó úyö ôö A~Jö<ùôûúyöúCA N üEó<Lù.õOùÑù<
þuó Jÿù-ó Júö úyù.õOöED5%//ôùÞÿõOþD5þ J XZ.õ=o5]AXúJö< Fó= cô4DgJþqh5Mrù.õOùù<oyõOÿ4<
J x≥1
J = N/2
ôûóó BôöwùÈùú?Dg.õOþõOöùs;Úù<]A\õù/ù.õOùù<ÁøJþô=Júuó/ö úyù-Eø ö<ÞúyöÞù<ÁøúóôùôûúyöÞúCA x
XZ.iõ o5!õOÿûóúø Qþ Aúyþ =2õÆþõOù ÑCú A0uúy>ö o5þ D5<ö =ÆõOö.õO4ÿ ;>óôû' ó Fó=cô4DgJþ>M8nXZq.õ=o5qAúJö< max
ù.õOù \úyù 2ù <ÌøJþô =ÆõO<ö Ùù <'EÿùBõ oyõO4ÿ <upó uúyö o5þ D5?//ôù õþõOù O umn<qAXõùkù.õOù¼ù<
Eÿù% õ uúyö o5þ D5u1ó //ôù ù <ÈóCõ /þõOù Èõyóù <øJþô =ôû0ó >Jôù ó JþøJþôûóôEö DÑóô<ö =/ù <-Eÿù]õ oõO4ÿ <qFó =
1
N2
Aúyþ rJÿõ FQPih5MMquúyöùõOôö ' ó Eþ4ô oyõOù4ô o5«Cú A ¼úyùô =ù .õOùÆõÚøJþ =ôûóôûúyö Cú A:`>4ô Dôùqó \úyù AXúyþBøJþô =
õO<ö Èÿù[õ }õOö \ Bú \JùõOô<ö =Y//ôù N =g800 #ü /:Jô 6uúyþþ uóø'úy<ö Jókùú«õù4ô !Cú Auú Eø JùõOùôûúyöCú A
Éió
côö.õOÿ4ÿ ;B/1D4ô o5 ôö cô4DgJþeÑqõ A @/ uú ø.õOþôûóúyö ó/Cú AEù <kþ uó Jÿùó-ú \JùõOô<ö =c//ôù Úú Jþ:ù >ú
õO<ö úyù <%þ ù >ú Jió qmn<ÆøJþô =u%ó >ôûóøJÿ=õ ;5=YAXúyþÁú Jþpù ú LõOþ ?uúyö o5þ D5= F@ù <?>4ô Dôù]ó D4ô o5ö
e
E8A\õCJÿù-oyõOÿ4<uó gP gJl5j=U+ 50
ghC8 gP gJl+g=I5j100
Pilgege gP gJl+g=I5j500
Pilgege gP Jgl+=gI51000
jPilgege
kj ++glgh5j gh kj ++glgh5j ghgI kj ++glgh5j ghgI kj ++glgh5j ghgI
T = 0.25
++gIghC l 5je ++gIghC l 5je ++gIghC l 5je ++gIghC l 5je
N = 100
lC<Jh P 5jlgIgh gUgIC e5jL hgegegl PieP 5j +gegI5j PieP 5j +gegI5j
K = 110
cô4DgJþhO0úø.õOþôûóúyöÛúCAù<þuóJÿùó0AXúyþ >ôþöù1oyõOÿ4<uórúCA J ]8A\õCJÿù0oyõOÿ4<uóúCA0ø.õOþõCùþóiO
ü ü ü
T = 1 σ = 0.05 r = 0.02 S = 100 K = 100 N = 1000 0
ü ü
õC\ óúyÿ4JùþþúyþÈúyö N = 100 N = 200 N = 400 N = 800

øJþô = PilP@g C8gl5j PgP gI gUglP
Eÿùõ PiIgUghP ghPiU + gh PiUgI
cô4DgJþ<O t¼õOùCú A!uúyö o5þ D5<ö =g õOÿ4<uó úCA.ø.õOþõCùþóiO T = 1. ü σ = 0.05 ü r = 0.02 ü S = 100 ü
ü 1XZ%D4ô o5Ìù <ÌCõ \ óúyÿ4Jùqþþúyþu\#ùs/=ö2ùQ<ÌøJþô=ÌõOö<Èÿùõú\JùõOôö<=2õOö< 0
ù<Áþ8A þö<=%oyõO4ÿ <uró F N = 20000M8OøJþô= = 1.697058 ü#Eÿùõ = 0.6334899

K = 100 J = N/2
ôö Eô4DgJþZeVJú ö úyùd.õOöED56AXúyþÛÿõOþD5þ N M8 XZõOÿûóú ôö<>ô}õOù ù< ö>Eq\ þÞúCAÑùô4 óùø ó
ö<==E=«ùúÑú\JùõOôöÞõOù-ÿ}õyóùù<%eq>ô4Dôùó/úCAcõ=@Jþõ@;[Dô4o5ö)mn<]uúøEJùõOùôûúyö.õOÿ5ùô4
ôûó'Dô4o5öôö cô4DgJþ> kúyùô=Ôù.õOù}übõyó?87>ø#=ù=0ü ù<cuúøEJùõOùôûúyö.õOÿ/ùô4Ôôûó O(N ) Fóôö<=
N ≥ 300
Aúyþ ù4ô uóùø ó}ü_/[ ó 3N/2 óø.õ=Ôóùø ó!õOö<ù<[ÉõOùþô=uó'}õOöG\#Éôö o5þù=V//ôù ÿôö<}õOþ 2
uú NøJÿ 879ôsù ;EM8

mn<Bþ uó Jÿù- ó Aþú +oõOö ù õOÿ 1uú uuó Aþú H4PiUCK1F,ó =qmECõ \Jÿ ?UôV ö H4PiULKNM8Où <quú Eø JùõOùôûúyö.õOÿ
ù4ô ô<ö >ô }õOù =Æôö!ù Jôûó ø.õOø _þ /õyóbCõ \ú Jù0U ¼ó úyöpõ ]òÈÿEø .õ _mn<þ uó Jÿù{ó Aþú 0=0uú uó
A@þú H4PLKõO<ö õOþ ú \JùõOô<ö =ôö2 õ A @/ó =uúy<ö Jió Bmn<ÿûiú /þõO<ö JøJø þ \ú Jö<JóÑõOþ ú \JùõOô<ö =
//ôù Ñù <rýþ @ôõ¼óCú A@sù /õOþ AXúyÿÿûiú //ôEö Dkù < ù ú ÌCú A!mn ú ø óúyd
ö Fó =H4PpLü lLKNM8O0ù <1uú Eø JùõOùôûúyö.õOÿ
ù4ô ÁôûóÈCõ \ú JùueóúyöÙõÆý = JôøJø =d//ôù Õcõ P u.löù ÿh{ý öù4ô E ...ô þúyøJþú =uóóúyiþ
σ K
÷ Jþuù >ú
ö ùÈõOÿ 0= mn ú ø óúy9
+oõO` ö F@ÿûiú /M mn ú ø óúyV ö FNJø+M
ge lge PgPg glC gl`F M PgPg glC PgPg glC PgPg glC glC PgPg glC gl+
N = 300
P kjlC h`F M kjlgh kjlge kjlC hgeC kjlCg8ge
Pge UkjLggYF N = 1000 M UkjL I UkjLg UkjLgg + UkjLg egIP
Jh l P JePiU F N = 3000M P JeP@ P JeP P JePiU gUC P JegUgh5jU
P P JU gl F N = 300 M
PJUP PJUPie PJU gI5jUC PJUP@ gIge
gP P ekjh CYF N = 300 M ekjUgl ekjh+ ekjUgIP P ekjhgeC IgI
N = 1000
cô4DgJþ'eO-úø.õOþôûóúyö ó úCAbù<ÑøJþô=uó¼ú\JùõOôö<=Y//ôù úyù<þù úJói õOÿ4<uó úCAbø.õOþõCùþóiO
ü ü ü úyþÁúJþ%ù ú>0ü /1rDô4o5Æù<!ö>Eq\ þBúCArùô4uóùø ó
<ö ==E=Þùúú \JùõOôö2õOù/ÿ}õyóùe?>ô4Dôùó¼úCAcøJþ=ôûóôûúyö)
T = 1 r = 0.15 S = 100 J = N/2 0
N ≥ 300
÷¼ö<]} õOöÚó=-Aþú,ùJôûó1uúø.õOþôûóúyö ó-ù.õOù-úJþnù ú«ôûó-õ=@JþõOùp\úyùBAXúyþ/óÉõOÿÿúyþrÿõOþD5

opúyÿõOùôÿôùôuói úyþbõOö ;royõOÿ4</úCAù<-ø.õOþõCùþóùuóù=0üúyö</ú\JùõOôö óbõOù ÿ}õyóù0ep>ô4DôùóbúCA.øJþ=ôûóôûúyö
ôö ÿu óókù. õOö úyö<ó,=uúyö<.ù ó=@óBõOÿûóúÔù.õOùBúJþ]ù ú>2ôûópA\õyóùþkù.õOö2ù<úyù<þ}ü \EJù ùJôûó
/rúJÿ`. õ=o5Á ùúf\ %<=,35=`} õOþ8A~Jÿÿ4Ú ; óôö<=Á
ôù-E ø ö<J óÈúyöÚù7 ô4É õOùôûúyö ó}ü
óôö<=]/q. õ=o5Á ùu óù=d'\ úyùd ù úJ óÈúyöÚù<Ì óõC%u ú øEJù þi
XZd} õOö õOÿûóú u úyö< ÿ4<Ed@A þú ù7 ø#= ù=0 ürù<Þ õ=@Jþõ@;VA úyþÉõ
Dô4o5 ö ôûó-\# ùù þ:XA úyþóùþô435u ó/ÿu óó/ù. õOö ü õyó:/1 ÿÿcõyónXA úyþ/ÿõOþD5%po úyÿõOùôÿôùôu ói
N S0

uúøEJùõOùôûúyö.õOÿEùô4
h N
geÆó
P Je+Æó
h eJUó
U5j!ó
cô4DgJþ OpúøEJùõOùôûúyö.õOÿbùô4uópAXúyþÁúJþpù úYAXúyþkóú õOö< F~uúøEJùõOùôûúyö ó
ÉõEBúyöÕõÆý = JôøJø =d//ôùÙõdP .löùÿhý{öùô4E...M8 N J = N/2
"-'({&F+*"-
.öuúyö<ÿ4 óôûúyö5ü /c.õio5dEþô4o5=Ýõò5þ; õ=@JþõOùÙõOö<GAXõyóù!ö>Eþô}õOÿ-ù úùúóúyÿ4o5Ôù<
tÈúD5 þQa T>Jôrý0]-XZ«ú\JùõOôö5üEôöÿuóóÑù.õOöúyö<«ó=uúyö< Fúyö õÞý = JôøJø =Z//ôù õZP u
.öwù ÿÈý{ öùô4E ...% ô þúyøJþú=u óóúyþW7M üõOùÉÿ} õyóù[e > ô4D ôùóÔúCAÁõ=@Jþõ@;\úyùAXúyþÿõOþD5ÙúyþÉóÉõOÿÿ
opúyÿõOùôÿôùôu óF úyþ M õOö<'A úyþ ôö\a ù<8a úyö<@; úyþbúJùQa úCAN\a ù<8a úyö<@;?u ú øEJùõOùôûúyö óR
mn<É þu óJÿùó!σõOþ=Û õOÿûóú o5 þσ; =õ=0.30
0.05 @JþõOù[XA úyþÌù<[E ÿùõ ÷Jþr ù ú> ôûór} õyó ; ùúÞô4 øJÿ@ öùÉõOö<
} õOöB. õOö<> ÿ¼ ùô48a E ø# ö<E öwù-ôöù þu óùþõOùu órúyþ1po úyÿõOùôÿôùôu óil. ùrõOÿûóúqr/ úyþ>3 ó// ôùÔ ö Jÿÿúyþö<@D õOùô4o5
ôöù þu óùÈþõOù üE/:J ôÕ ôûóúCcA ôöwù þu óùôA úyö<Á ùõC35u óôöwùúÉõ=u úJöùkóú%> ô49o ôE ö<Ú þõOùg
1#9 mn<«Cõ Jù úyþq ó /ú Jÿÿ4ô 35ùúÞù .õOEö 3 nþö.õOþ ^hõOø @;wþ AúyþÑóù4ô qa
ÿõOùôöED«õOö< öJÿô4DgwùöJôöED2>ôûó,@ óóôûúyö ó¼õOö<ÕõOÿûóúÔ÷.õOÿô`nö.õOÿÿûúÀúyþ:Jôûóu/rúyþ3ÙõyóÈõóù<Eöù¼úyö
ùJôûóó E\=ùi
=_ '(
H4P8KÑýþ@ôõ ùùø)OkgC=þôuóiöJø g A@þW Jø þ@ôõ5<ôö<E87 ùÿ
∼
HJULK n?E\úyôûói kôþö<=uó öJôuó9}õOþõùþôûóùô><uó øúJþ ÿuó úyøJùôûúyö óÝõyóôõOùô <uó}üdU gh
ùùø)OkgL/:/:/`õyó,ô A@þWCE\úyôûóW õOö gh5÷¼øJùôûúyö ió #ø A
HJhLK ? E óõOô ýþôôöED ò¼óôõOö úyøJùôûúyö ó owôõ ú Jþô þ2õO<ö ^hõOøJÿõ=ùþõOö óQAXúyþói"!wí9îW#|Ìí w
# í"!# |+~}Xí+|#/ }N+|+êu!ü U C<ùúõOøJø }õOiþ
H Kr? ^hõCr\#þùúyö õO<ö ]^hõO#ø @;9þ g%$WGîí}ï E&~}Xí |G|+$r%ð \ií 8|O%ð ~}'&$ d ê |4!D!# }'&$)(+*-4|ry-,
+|#ê@0ÿÿôø ,ó uó})ü Pilgl5j
HJeLKr]^hõO#ø @;9þ /õO<ö ?-m @ÉCõ +úø ùôù4ô o5-b2úyöù --õOþÿû] ú ù >ú J{ó AXúyþcù <røJþô ôEö DBCú A'ò¼óôõOö
úyøJùôûúyö ió .!9í 9Wî +|+Eí í "!# |+~}Xí +|#/ }N+|+êu!ü eEFQPRM7!ü U Pg
w #
HLKrm% ^)ÿ0ô /@o9þ g ýbþô ôEö D Euó úyøJùôûúyö ó õyóôõOùô ><uó}ü U
ùù)ø OkgC=þ ô uRó öJ#ø g AWþ ÿ ÿô @owþ R<þõOøJøúyþùWó CtkõOøJø'úyþùòkóôõ ø ió
∼
HkjRKr-+^@o>;5ýþô ôEö DcJþúyø }õOö2=õ o5þCõ D5ÑþõOù @Jþþ <ö @;ÞúyøJùôûúyö ió 1!í w $WGêWî +|D~}í #|22í 'êë
|ï / } #|+êü PgPgO >jL43 lPü PilglgU
HJILKr^0kp ?gt¼ú D5þóõO<ö {5T>Jô Emn<noõO4ÿ <-Cú A'õOöò¼óôõOöÆúyøJùôûúy)ö ! 5 !D!#6îfEí )|8)8}1 } ë>ü hgUO4P5jgj3
PgIgI>)ü Pilglge
HJlLK ? X ý >mn ú ø óúy)ö .õyóùrö.õOþþiú / \ú Jö<JóúyöÉù <:oyõO4ÿ <¼Cú AòkóôõOöÉúyøJùôûúyö Ró 87Æíy4î R}N> !|4!Jêî
!DJiï 9ê $W %ð ~} +ê :_ í w # |+ )Wî }Xiï êü Pilglgl
j

H4PLK<0 = icòèö<@/èý pÝõOøJøJþúpõ,dAXúyþrøJþôôöEDõOþôùEùôBõ=o5þõCD5ÁòkóôõOöÛúyøJùôûúyö ió !wí9îW#|
í w # í"!# |+~}Xí+|#/ }N+|+êüE!FN>M8O4Pge 3+PgPih>ü+U Pg
H4PgP8K<- +.õOöED</òó@ôalõOö.õOÿ4;wùô}õOÿù ú> AúyþÈøJþôôöEDÛõOö<`<=DôöED[uúyöùôö> ú óÿ4;>aóõCøJÿ=
õOþôùEùô õ=oõOþõCD5ÈþõOù¼úyøJùôûúyö ói!wí9î8+|0í w # í"!# |+~}Xí+|/0}N+|#êü>eEFQPRM8OJegl 3jl>üEU Pg
H4PiULKrtq +oõOö5üJý ò' úyþó;9ù5ü õOö<f0ùRõOÿ tÈú\E óù-ö>Eþô}õOÿ)ù ú>Jó:Aúyþ/ý0]úEÿûó/úCA
òkóôõOöÞúyøJùôûúyö ói.!9íwî8+|cí w # í"!# |+~}íg+|#/ } #|+êü PgOJhgl 3jI>ü)PilglgI
View publication stats

Efficient Pricing of Asian Options by The PDE Appr

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Efficient Pricing of Asian Options by The PDE Appr

Uploaded by

Copyright:

Available Formats

See discussions, stats, and author profiles for this publication at: https://www.researchgate.

Efﬁcient Pricing of Asian Options by the PDE Approach

Article in Journal of Computational Finance · April 2005

IPAM Long Program: Complex High-Dimensional Energy Landscapes View project

The user has requested enhancement of the downloaded file.

v]_mdJe<sOT_`VcfUy] YnOd`Wfd`_`Wf[uY\WcfWlY\/_mZVf WZUO7 Y

e−r(T −t) IE(g(ST , AT )|Ft ).

e−r(T −t) IE(g(ST , AT )|Ft ) = V (t, St , At ).

Eø JùF MM0\ ;Ôó,ùùôöED õOö< F@þuóø)

ò¼óôõOöÞúyøJùôûúyö ó¼õyóúyøJùôûúyö ó¼úyöÙõÆùþõ E=Ùõ=uúJöù}üó=fH4PCK

ýbþô =BCú Acù <BEø Jù (t = 0, S ) = ýþô=BúCA ù<}õOÿÿ (t = 0, S ) − e S e − 1 − K .

þ 8A~þ <ö =oyõO4ÿ < =öù þ =Õó <@

AXúyþù <Bõ o5=ùôûúyöÕúyø þõOùúyþ

XS.õOù/1¼øJþúyøúó¼ùúÆóúyÿ4o5ÈùJôûóøJþú\Jÿ@ ôûóùúq ó,kõr.õOþõùþôûóùô]ù ú FN\.õyó=«úyö«ù<

n'êYíï |mðuíN } \í9í"!#ûê$ê%ëZê$ÑîW}Xï í w N>êY|pïê&~}('yê ê7î%ê*)ëLðí+,'i}N>

}õOö .õOö<>ÿ2ö<@DõOùô4o52úyþciþúôöùþuóùÛþõOù ü:/:Jôèôûó«ô4øúyþùõOöùÚôAÌúyö<2ùõC35uó«ôöùú

óúy4ÿ o5%>ôþ =ù4ÿ ;ZF h5M8

õC\ óúyÿ4JùþþúyþÈúyö N = 100 N = 200 N = 400 N = 800

ù<Áþ8A þö<=%oyõO4ÿ <uró F N = 20000M8OøJþô= = 1.697058 ü#Eÿùõ = 0.6334899

uú NøJÿ 879ôsù ;EM8

÷¼ö<]} õOöÚó=-Aþú,ùJôûó1uúø.õOþôûóúyö ó-ù.õOù-úJþnù ú«ôûó-õ=@JþõOùp\úyùBAXúyþ/óÉõOÿÿúyþrÿõOþD5

View publication stats

You might also like

Efficient Pricing of Asian Options by The PDE Appr

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Efficient Pricing of Asian Options by The PDE Appr

Uploaded by

Copyright:

Available Formats

See discussions, stats, and author profiles for this publication at: https://www.researchgate.

Efﬁcient Pricing of Asian Options by the PDE Approach

Article in Journal of Computational Finance · April 2005

IPAM Long Program: Complex High-Dimensional Energy Landscapes View project

The user has requested enhancement of the downloaded file.

 v]_mdJe<sOT_`VcfUy]  YnOd`Wfd`_`Wf[uY\WcfWlY\/_mZVf WZUO7 Y

e−r(T −t) IE(g(ST , AT )|Ft ).

e−r(T −t) IE(g(ST , AT )|Ft ) = V (t, St , At ).

Eø JùF MM0\ ;Ôó,ùùôöED  õOö< F@þuóø)

ò¼óôõOöÞúyøJùôûúyö ó¼õyóúyøJùôûúyö ó¼úyöÙõÆùþõ E=Ùõ=uúJöù}üó=fH4PCK 

ýbþô =BCú Acù <BEø Jù (t = 0, S ) = ýþô=BúCA ù<}õOÿÿ (t = 0, S ) − e  S e − 1 − K  .

þ 8A~þ <ö =oyõO4ÿ < =öù þ =Õó <@

AXúyþù <Bõ o5=ùôûúyöÕúyø þõOùúyþ

XS.õOù/1¼øJþúyøúó¼ùúÆóúyÿ4o5ÈùJôûóøJþú\Jÿ@ ôûóùúq ó,kõr.õOþõùþôûóùô]ù ú FN\.õyó=«úyö«ù<

n'êYíï |mðuíN }  \í9í"!#ûê$ê%ëZê$ÑîW}Xï í w N>êY|pïê&~}('yê ê7î%ê*)ëLðí+,'i}N>

}õOö .õOö<>ÿ2ö<@DõOùô4o52úyþciþúôöùþuóùÛþõOù ü:/:Jôèôûó«ô4øúyþùõOöùÚôAÌúyö<2ùõC35uó«ôöùú

óúy4ÿ o5%>ôþ =ù4ÿ ;ZF h5M8

õC\ óúyÿ4JùþþúyþÈúyö N = 100 N = 200 N = 400 N = 800

ù<Áþ8A þö<=%oyõO4ÿ <uró F N = 20000M8OøJþô= = 1.697058 ü#Eÿùõ = 0.6334899 

uú NøJÿ 879ôsù ;EM8

÷¼ö<]} õOöÚó=-Aþú,ùJôûó1uúø.õOþôûóúyö ó-ù.õOù-úJþnù ú«ôûó-õ=@JþõOùp\úyùBAXúyþ/óÉõOÿÿúyþrÿõOþD5

View publication stats

You might also like

v]_mdJe<sOT_`VcfUy] YnOd`Wfd`_`Wf[uY\WcfWlY\/_mZVf WZUO7 Y

Eø JùF MM0\ ;Ôó,ùùôöED õOö< F@þuóø)

ò¼óôõOöÞúyøJùôûúyö ó¼õyóúyøJùôûúyö ó¼úyöÙõÆùþõ E=Ùõ=uúJöù}üó=fH4PCK

ýbþô =BCú Acù <BEø Jù (t = 0, S ) = ýþô=BúCA ù<}õOÿÿ (t = 0, S ) − e S e − 1 − K .

þ 8A~þ <ö =oyõO4ÿ < =öù þ =Õó <@

AXúyþù <Bõ o5=ùôûúyöÕúyø þõOùúyþ

XS.õOù/1¼øJþúyøúó¼ùúÆóúyÿ4o5ÈùJôûóøJþú\Jÿ@ ôûóùúq ó,kõr.õOþõùþôûóùô]ù ú FN\.õyó=«úyö«ù<

n'êYíï |mðuíN } \í9í"!#ûê$ê%ëZê$ÑîW}Xï í w N>êY|pïê&~}('yê ê7î%ê*)ëLðí+,'i}N>

}õOö .õOö<>ÿ2ö<@DõOùô4o52úyþciþúôöùþuóùÛþõOù ü:/:Jôèôûó«ô4øúyþùõOöùÚôAÌúyö<2ùõC35uó«ôöùú

óúy4ÿ o5%>ôþ =ù4ÿ ;ZF h5M8

õC\ óúyÿ4JùþþúyþÈúyö N = 100 N = 200 N = 400 N = 800

ù<Áþ8A þö<=%oyõO4ÿ <uró F N = 20000M8OøJþô= = 1.697058 ü#Eÿùõ = 0.6334899

uú NøJÿ 879ôsù ;EM8

÷¼ö<]} õOöÚó=-Aþú,ùJôûó1uúø.õOþôûóúyö ó-ù.õOù-úJþnù ú«ôûó-õ=@JþõOùp\úyùBAXúyþ/óÉõOÿÿúyþrÿõOþD5