An improved convolution algorithm for discretely sampled Asian options

DOI10.1080/14697680903397667MaRDI QIDQ3169216zbMATH OpenOpenAlexFDO

Authors Aleš Černý, Ioannis Kyriakou

Publication date 28 April 2011

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/12180/6/CernyKyriakou.AsianOptions.vCRO-watermark.pdf

zbMATH Keywords

asset pricingincomplete marketspath-dependent optionsperformance evaluation

Mathematics Subject Classification ID

Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Necessary and Sufficient Conditions for Differentiating under the Integral Sign
• Spectral Expansions for Asian (Average Price) Options
• The value of an Asian option
• The Variance Gamma Process and Option Pricing

Cited in

(23)

• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options
• A data-driven framework for consistent financial valuation and risk measurement
• Control variates and conditional Monte Carlo for basket and Asian options
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• Multiplicative noise, fast convolution and pricing
• A comprehensive mathematical approach to exotic option pricing
• An efficient transform method for Asian option pricing
• Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
• Pricing exotic derivatives exploiting structure
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
• A parallel wavelet-based pricing procedure for Asian options
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Additive normal tempered stable processes for equity derivatives and power-law scaling
• Asian option pricing with orthogonal polynomials
• Closed-form expansions of discretely monitored Asian options in diffusion models
• 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
• The bilateral Gamma motion: calibration and option pricing
• Duality and transform analysis for non-decreasing functionals of stochastic processes and their applications

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