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

DOI10.1080/07362994.2015.1024855MaRDI QIDQ3448333zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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