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

DOI10.1016/j.apnum.2013.11.004zbMath1282.91381MaRDI 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 convergence; Clenshaw-Curtis quadrature; arithmetic average; early-exercise Asian option; Fourier cosine expansion; graphics processing unit computation

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

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Uses Software

• CUDA

Cites Work

• Unnamed Item
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