PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options

DOI10.1080/07362994.2015.1024855zbMATH Open1335.91078OpenAlexW3123754156MaRDI QIDQ3448333FDOQ3448333

Authors: Sudip Ratan Chandra, Diganta Mukherjee, Indranil SenGupta 

Publication date: 23 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1024855

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zbMATH Keywords

calibrationequivalent martingale measureAsian option pricingLévy processpartial integro-differential equations (PIDE)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Financial applications of other theories (91G80)

Cites Work

• Financial Modelling with Jump Processes
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Numerical Methods in Scientific Computing, Volume I
• Option pricing with Mellin transforms
• Lévy Processes and Stochastic Calculus
• Pricing contingent claims on stocks driven by Lévy processes
• THE DISTRIBUTION OF RETURNS OF STOCK PRICES
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Numerical solution of two asset jump diffusion models for option valuation
• Connecting discrete and continuous path-dependent options
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Numerical valuation of options with jumps in the underlying
• Robust numerical methods for contingent claims under jump diffusion processes
• Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
• Estimating Security Price Derivatives Using Simulation
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY

Cited In (2)

• New pricing formula for arithmetic Asian options using PDE approach
• Barrier option under Lévy model: a PIDE and Mellin transform approach

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