Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
DOI10.1016/J.APNUM.2013.11.004zbMATH Open1282.91381OpenAlexW2018111928MaRDI QIDQ2437361FDOQ2437361
Authors: B. 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
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exponential convergenceClenshaw-Curtis quadraturearithmetic averageearly-exercise Asian optionFourier cosine expansiongraphics processing unit computation
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A novel pricing method for European options based on Fourier-cosine series expansions
- Fast construction of the Fejér and Clenshaw-Curtis quadrature rules
- Chebyshev and Fourier spectral methods.
- Is Gauss Quadrature Better than Clenshaw–Curtis?
- 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
- 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
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- A dynamic programming procedure for pricing American-style Asian options
Cited In (15)
- An efficient transform method for Asian option pricing
- Bounds on prices for Asian options via Fourier methods
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Approximating the density of the time to ruin via Fourier-cosine series expansion
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
- A pseudospectral method for option pricing with transaction costs under exponential utility
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- On a time-changed Lévy risk model with capital injections and periodic observation
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- Finite-time dividend problems in a Lévy risk model under periodic observation
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- A spectral method for an optimal investment problem with transaction costs under potential utility
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