Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes

DOI10.1016/J.AMC.2014.12.002zbMATH Open1338.91151OpenAlexW2043003322MaRDI QIDQ298749FDOQ298749

Authors Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu 

Publication date 21 June 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2014.12.002

zbMATH Keywords

pricingfast Fourier transformAsian optionNewton-Cotes integration formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cites work

• scientific article; zbMATH DE number 1445392 (Why is no real title available?)
• scientific article; zbMATH DE number 3269388 (Why is no real title available?)
• Accurate and efficient lattice algorithms for American-style Asian options with range bounds
• Adaptive placement method on pricing arithmetic average options
• An efficient convergent lattice algorithm for European Asian options
• An exact subexponential-time lattice algorithm for Asian options
• An improved convolution algorithm for discretely sampled Asian options
• Black-Scholes representation for Asian options
• Connecting discrete and continuous path-dependent options
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Efficient, exact algorithms for Asian options with multiresolution lattices
• Introduction to algorithms
• Martingales and stochastic integrals in the theory of continuous trading
• Monte Carlo methods for security pricing
• On the rate of convergence of discrete-time contingent claims.
• Pricing Asian options for jump diffusion
• Pricing Asian options in a semimartingale model
• Pricing Asian options under a hyper-exponential jump diffusion model
• Pricing discretely monitored Asian options by maturity randomization
• Pricing exotic derivatives exploiting structure

Cited in

(5)

• Very fast algorithms for implied barriers and moving-barrier options pricing
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• An improved convolution algorithm for discretely sampled Asian options
• An efficient transform method for Asian option pricing

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