英文标题：
《Asian Option Pricing with Orthogonal Polynomials》
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作者：
Sander Willems
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最新提交年份：
2018
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英文摘要：
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the series are fully explicit and no numerical integration nor any special functions are involved. We provide sufficient conditions to guarantee convergence of the series. The moment indeterminacy of the log-normal distribution introduces an asymptotic bias in the series, however we show numerically that the bias can safely be ignored in practice.
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中文摘要：
本文推导了Black-Scholes环境下连续抽样算术亚式期权价格的级数展开式。展开式基于与对数正态分布正交的多项式。级数中的所有项都是完全显式的，不涉及数值积分或任何特殊函数。我们提供了保证级数收敛的充分条件。对数正态分布的矩不确定性在序列中引入了一个渐近偏差，但我们在数值上表明，该偏差在实践中可以安全地忽略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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