Binomial lattice for pricing Asian options on yields

来源期刊：中南大学学报(英文版)2003年第1期

论文作者：杨德生

文章页码：78 - 80

Key words：Asian option; binomial lattice; affine term structure

Abstract: An efficient binomial lattice for pricing Asian options on yields is established under the affine term structure model.In order to reconnect the path of the discrete lattice,the technique of D.Nelson and K.Ramaswamy is used to transform a stochastic interest rate process into a stochastic diffusion with unit volatility. By the binomial lattice and linear interpolation,the prices of Asian options on yields can be obtained. As the number of nodes in the tree structure grows linearly with the number of time steps,the computational speed is improved.The numerical experiments to verify the validity of the lattice are also provided.