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An exact subexponential-time lattice algorithm for Asian options

Tian-Shyr Dai, Yuh-Dauh Lyuu
2007 Acta Informatica  
This paper proposes a novel lattice structure for pricing Asian options.  ...  Asian options are popular financial derivative securities. Unfortunately, no exact pricing formulas exist for their price under continuous-time models.  ...  Proof will be given in the next section to show that our lattice provides a subexponential-time algorithm for Asian options.  ... 
doi:10.1007/s00236-006-0033-9 fatcat:5o4wwvejlfawdoxc24zybjpshy

An efficient convergent lattice algorithm for European Asian options

Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu
2005 Applied Mathematics and Computation  
Asian options can be priced numerically on the lattice. A lattice divides the time to maturity into n equal-length time steps.  ...  Unfortunately, only subexponential-time algorithms are available if Asian options are to be priced on the 0096-3003/$ -see front matter Ó Applied Mathematics and Computation xxx (2005) xxx-xxx  ...  But their algorithm runs in time subexponential in n. In pricing the Asian option, each node on the lattice should keep a state for each possible average stock price.  ... 
doi:10.1016/j.amc.2004.10.085 fatcat:se7yovelvjbkxprswdjxsi4fiq

Accurate and efficient lattice algorithms for American-style Asian options with range bounds

Tian-Shyr Dai, Yuh-Dauh Lyuu
2009 Applied Mathematics and Computation  
Since there is no known exact pricing formula for Asian options, numerical pricing formulas like lattice models must be employed.  ...  Thus polynomial time algorithms with convergence guarantee for European-style Asian options can be derived. However, such a simple formula does not exist for American-style Asian options.  ...  Up to now, the best algorithm to price an Asian option on a lattice exactly runs in subexponential time [18] .  ... 
doi:10.1016/j.amc.2008.12.053 fatcat:pgwzi5w5fzesvisvv7pwzjhnra

Papers from Actuarial Journals Worldwide

2010 Annals of Actuarial Science  
A trinomial tree model is introduced to provide an efficient way to solve this problem. The valuation of Asian options is studied and extended to Asian-option-related EIAs.  ...  However, the valuation of derivatives in such models is challenging, especially for the strong path-dependent options such as Asian options.  ...  With a deferred variable annuity the policyholder pays an upfront premium to the insurance company, which is then invested in the financial markets for many years (the accumulation phase) until the policyholder  ... 
doi:10.1017/s1748499510000084 fatcat:pqk7gmcyq5gjzlh3ozvgd4x7na


2016 Annals of Actuarial Science  
There may be a charge for this service. Members of the Institute and Faculty of Actuaries can also access these journals directly by registering for the eLibrary. A password is available on request.  ...  We develop an approximating discrete-time multinomial lattice that mimics the evolution of the corresponding continuous risk process.  ...  The upper bounds of the finite-horizon and infinite-horizon ruin probabilities are investigated and an efficient and exact Monte Carlo simulation algorithm for this new process is developed.  ... 
doi:10.1017/s1748499515000147 fatcat:cxwzklcxczghzfc2a6n4nsdih4

Stress Testing [chapter]

2013 Measuring Market Risk  
and algorithmic methods of solving for the VaR of options positions.  ...  ) enables us to obtain the option values a little earlier, at time T − t; once we have the option values for time T − t, we can use Equation (7.6) again to obtain the option values for time T − 2 t; we  ...  mean, an option with a known closed-form solution, as a control for an Asian option on an arithmetic mean.  ... 
doi:10.1002/9781118673485.ch13 fatcat:njtm4jtxuffzrn4fwh4rn4v734

Chasing the AIDS virus

Thomas Lengauer, André Altmann, Alexander Thielen, Rolf Kaiser
2010 Communications of the ACM  
Combining this with information coming from object detectors operating independently at each location produces an overall score for the presence of an object of a given class at location (x; y).  ...  I also thank Tuomas Sandholm for feedback on the kidney exchange section, and David Pennock for feedback on the prediction markets section.  ...  The time complexity for exact inference in this model is O(ST2 D ), ignoring the cost of running the detectors.  ... 
doi:10.1145/1666420.1666440 fatcat:o2qllqh4tzhh5dzgvnjewl52vq

Reinforcement Learning (Dagstuhl Seminar 13321) The Critical Internet Infrastructure (Dagstuhl Seminar 13322) Coding Theory (Dagstuhl Seminar 13351) Interaction with Information for Visual Reasoning (Dagstuhl Seminar 13352)

Peter Auer, Marcus Hutter, Laurent, Georg Carle, Jochen Schiller, Steve Uhlig, Walter Willinger, Matthias Wählisch, Thore Husfeldt, Ramamohan Paturi, Gregory Sorkin, Ryan Williams (+14 others)
We gratefully acknowledge the Dagstuhl staff for helping on all administrative coordination, for their patience, and most importantly for providing an extremely inspiring environment.  ...  Biological OFF rate can be studied, OFF rate is the time for A and B to stay attached. Then, they dissociate. Should attach long enough and go to the membrane for reaction.  ...  an option for the current situation, adapt the option to the situation and sequence options to solve an overall task.  ... 

Symmetry, Almost

Amanda Folsom
2019 Notices of the American Mathematical Society  
The AMS is not responsible for rate changes or for the quality of the accommodations. Hotels have varying cancellation and early checkout penalties; be sure to ask for details.  ...  For the latest information, see  ...  In dimension 8 there is E 8 , an exceptional Lie group with a root lattice of rank 8, and in dimension 24 there is the Leech lattice.  ... 
doi:10.1090/noti1775 fatcat:xwrijzvqazg7bdym7un5qq2jjq

Dagstuhl Reports, Volume 9, Issue 10, October 2019, Complete Issue

open problem to determine for what functions f Algorithm 1 finds an optimal solution x in expected polynomial time.  ...  Second, we use a subexponential quantum algorithm which is applicable when the endomorphism ring of the elliptic curves involved in the instance of the problem is isomorphic to an imaginary quadratic order  ...  However, for non-dense trinet sets, this problem is already NP-hard and the only existing algorithms are an efficient heuristic and an exponential-time exact algorithm.  ... 
doi:10.4230/dagrep.9.10 fatcat:4dvf4zjt4nhafhwb4ot23au3ua

Strengthening trust in the identity life cycle [article]

Nicolas Buchmann, Universitätsbibliothek Der FU Berlin, Universitätsbibliothek Der FU Berlin
Travel documents have become an integral part of travelling into foreign countries and play a major role for border control.  ...  On the other hand, electronic travel documents are only one part of the document life cycle, since a passport can be obtained with an insecure birth certificate.  ...  [87] further generalise the Shor algorithm to any problem that can be reduced to the hidden subgroup problem (HSP) (see [17] ), effectively creating an algorithm which runs in polynomial time for an  ... 
doi:10.17169/refubium-1829 fatcat:23mb2ng5j5hddgpbmldt5xylfm

New Paradigms and Optimality Guarantees in Statistical Learning and Estimation

Yu-Xiang Wang
In addition, data collected in many internet services, e.g., web search and targeted ads, are not iid, but rather feedbacks specific to the deployed algorithm.  ...  Machine learning (ML) has become one of the most powerful classes of tools for artificial intelligence, personalized web services and data science problems across fields.  ...  We then construct an ROC curve, i.e., the true positive rate versus the false positive rate of the test, as we vary its rejection threshold. For the test itself, we consider our kth order KS test, in  ... 
doi:10.1184/r1/6720836.v1 fatcat:bdtsjzawkbdjxntc5pmm5irvna