Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
DOI10.1137/16M1108133zbMATH Open1408.91219OpenAlexW2782310068MaRDI QIDQ4635240FDOQ4635240
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1108133
Recommendations
- An efficient transform method for Asian option pricing
- Asian options and meromorphic Lévy processes
- Pricing discretely monitored Asian options by maturity randomization
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- scientific article; zbMATH DE number 5027094
Hilbert transformfast convolutionarithmetic Asian optionsgamma transformfast Hilbert transformLévy processesdouble spiral method
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integration, integrals of Cauchy type, integral representations of analytic functions in the complex plane (30E20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Numerical methods for integral transforms (65R10) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- An Efficient Transform Method for Asian Option Pricing
- Pricing Discretely Monitored Asian Options by Maturity Randomization
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- Title not available (Why is that?)
- Title not available (Why is that?)
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- Spectral Expansions for Asian (Average Price) Options
- Pricing Asian options under a hyper-exponential jump diffusion model
- Title not available (Why is that?)
- Monte Carlo methods for security pricing
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
- Martingale methods in financial modelling.
- Title not available (Why is that?)
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
- An improved convolution algorithm for discretely sampled Asian options
- Pricing Asian options in a semimartingale model
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
- On Asian option pricing for NIG Lévy processes
- General Lower Bounds for Arithmetic Asian Option Prices
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Title not available (Why is that?)
- Pricing discrete barrier options and credit default swaps under Lévy processes
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
- Pitfalls of the Fourier Transform Method in Affine Models, and Remedies
- METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
Cited In (8)
- A transform-based method for pricing Asian options under general two-dimensional models
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- A data-driven framework for consistent financial valuation and risk measurement
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
This page was built for publication: Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4635240)
