Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions

DOI10.1016/J.CAM.2016.07.019MaRDI QIDQ730541zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fast Fourier transformjump-diffusionmean reverting processFourier-cosine expansionsarithmetic Asian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cites work

• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• A novel pricing method for European options based on Fourier-cosine series expansions
• Derivatives: the tools that changed finance.
• Financial Modelling with Jump Processes
• Modelling jumps in electricity prices: theory and empirical evidence
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(11)

• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• 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
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• A recursive method for discretely monitored geometric Asian option prices
• Pricing of the geometric Asian options under a multifactor stochastic volatility model
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process

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