Recursive Methods for Pricing of Asian Options

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 18 in Quantitative Methods for Finance with Simulations II, 2026, pp 337-346 from Springer

Abstract: Abstract We introduce a recursive method for pricing arithmetic average Asian options. The method employs the backward recursion algorithm to estimate the risk-neutral probability density function.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_18

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DOI: 10.1007/978-3-032-12331-2_18

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