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
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- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Pricing exotic derivatives exploiting structure
- Pricing Asian options for jump diffusion
- An improved convolution algorithm for discretely sampled Asian options
- Pricing Asian options in a semimartingale model
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- An exact subexponential-time lattice algorithm for Asian options
Cited In (5)
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- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
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- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- An improved convolution algorithm for discretely sampled Asian options
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