An efficient transform method for Asian option pricing
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arithmetic Asian optionsB-splinebasisCarverhill-Clewlow factorizationcharacteristic functionCOSexotic optionsfast Fourier transformFFTframe projectionLévy processesoption pricingPROJ
Characteristic functions; other transforms (60E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical computation using splines (65D07) Numerical methods for discrete and fast Fourier transforms (65T50) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Bounds on prices for Asian options via Fourier methods
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
Cites work
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- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- An improved convolution algorithm for discretely sampled Asian options
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- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Equivalence of floating and fixed strike Asian and lookback options
- General Lower Bounds for Arithmetic Asian Option Prices
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- Inverting analytic characteristic functions and financial applications
- On the approximation power of convolution-based least squares versus interpolation
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Pricing discrete barrier options and credit default swaps under Lévy processes
- Pricing discretely monitored Asian options by maturity randomization
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Processes of normal inverse Gaussian type
- Static hedging and pricing of exotic options with payoff frames
Cited in
(44)- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- A data-driven framework for consistent financial valuation and risk measurement
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
- An analysis of dollar cost averaging and market timing investment strategies
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Efficient pricing of European options on two underlying assets by frame duality
- Valuing equity-linked death benefits in general exponential Lévy models
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- A recursive method for discretely monitored geometric Asian option prices
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Efficient and accurate quadratic approximation methods for pricing Asian strike options
- An improved convolution algorithm for discretely sampled Asian options
- scientific article; zbMATH DE number 1947439 (Why is no real title available?)
- A general valuation framework for SABR and stochastic local volatility models
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Swing option pricing by dynamic programming with b-spline density projection
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Bounds on prices for Asian options via Fourier methods
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Computing the Gerber-Shiu function by frame duality projection
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- A transform-based method for pricing Asian options under general two-dimensional models
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- European and Asian Greeks for exponential Lévy processes
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- On pricing of discrete Asian and Lookback options under the Heston model
- The bilateral Gamma motion: calibration and option pricing
- Nested-conditional factorization approach to Asian options pricing
- Closed-form option formulas for Kou-like models
- Numerical methods for computing risk measures of variable annuities under exponential Lévy models
- Efficient valuation of joint life variable annuities with guaranteed minimum death benefits
- Pricing guaranteed minimum death benefits with dollar cost averaging under time-changed Lévy models
- Calibration and option pricing with stochastic volatility and double exponential jumps
- Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
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