Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
DOI10.1016/J.CAM.2016.07.019zbMATH Open1354.91164OpenAlexW2501546484MaRDI QIDQ730541FDOQ730541
Authors: Chun-Sung Huang, John O'Hara, Sure Mataramvura 
Publication date: 28 December 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.07.019
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fast Fourier transformjump-diffusionmean reverting processFourier-cosine expansionsarithmetic Asian options
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
- Derivatives: the tools that changed finance.
- Financial Modelling with Jump Processes
- A novel pricing method for European options based on Fourier-cosine series expansions
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Title not available (Why is that?)
- Modelling jumps in electricity prices: theory and empirical evidence
Cited In (11)
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
- A recursive method for discretely monitored geometric Asian option prices
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Pricing of the geometric Asian options under a multifactor stochastic volatility model
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
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