A fast pricing algorithm for the arithmetic half-Asian option

Abstract:

The arithmetic half-Asian option is a generalized Asian option, without analytic pricing formula. The Monte Carlo methods are most unsed in option pricing. Despite of the high pricing accuracy, the calculation time is long. In this paper, a fast algorithm named the semi-analytic method for the arithmetic half-Asian option is proposed by combining the improved Monte Carlo method and moment approximation method. The mathod greatly reduces the computation time under the premise of ensuring accuracy. Then, the semi-analytic method is improved by using antithetic variable technique in order to further reduce the computation time.