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
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)
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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
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