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

Tian-Shyr Dai, Chun-Yuan Chiu, 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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Black-Scholes representation for Asian options
• Pricing Discretely Monitored Asian Options by Maturity Randomization
• Introduction to algorithms
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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
• An exact subexponential-time lattice algorithm for Asian options

Cited In (2)

• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• Very fast algorithms for implied barriers and moving-barrier options pricing

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