Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
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Publication:2437361
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
exponential convergence; Clenshaw-Curtis quadrature; arithmetic average; early-exercise Asian option; Fourier cosine expansion; graphics processing unit computation
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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Cites Work
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