Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

DOI10.1016/J.APNUM.2013.11.004zbMath1282.91381OpenAlexW2018111928MaRDI QIDQ2437361

Bowen Zhang, Cornelis W. Oosterlee

Publication date: 3 March 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/22497

zbMATH Keywords

exponential convergenceClenshaw-Curtis quadraturearithmetic averageearly-exercise Asian optionFourier cosine expansiongraphics processing unit computation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ On a time-changed Lévy risk model with capital injections and periodic observation ⋮ Finite-time dividend problems in a Lévy risk model under periodic observation ⋮ A spectral method for an optimal investment problem with transaction costs under potential utility ⋮ A pseudospectral method for option pricing with transaction costs under exponential utility ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

Uses Software

• CUDA

Cites Work

• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Accurate and efficient lattice algorithms for American-style Asian options with range bounds
• Fast construction of the Fejér and Clenshaw-Curtis quadrature rules
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Is Gauss Quadrature Better than Clenshaw–Curtis?
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

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