Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space

DOI10.1137/16M1108133zbMath1408.91219OpenAlexW2782310068MaRDI QIDQ4635240

Sergei Levendorskii

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

zbMATH Keywords

Lévy processesHilbert transformfast convolutionarithmetic Asian optionsgamma transformfast Hilbert transformdouble spiral method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) 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 (42B10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical methods for integral transforms (65R10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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