Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

DOI10.1137/110853339zbMath1282.65023OpenAlexW2121511461MaRDI QIDQ2873135

Bowen Zhang, Cornelis W. Oosterlee

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/21612

zbMATH Keywords

exponential convergenceClenshaw-Curtis quadraturearithmetic Asian optionsexponential Lévy asset price processesFourier cosine expansions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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