An efficient and stable method for short maturity Asian options
提出基于马尔可夫链的近似方法，用于几何布朗运动下短期算术亚式期权的定价与对冲，具有封闭形式、高效稳定，优于现有方法。
In this paper, we develop a Markov chain‐based approximation method to price arithmetic Asian options for short maturities under the case of geometric Brownian motion. It has the advantage of being a closed‐form approximation involving only matrices. It is an accurate, efficient, and stable method for the pricing and hedging of short maturity arithmetic Asian options for which previous methods in the literature have shown either slower convergence or instabilities in hedging parameters. We demonstrate that this method is as good as and sometimes better than existing approximation methods in the literature.