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

DOI10.1016/j.cam.2016.07.019zbMath1354.91164OpenAlexW2501546484MaRDI QIDQ730541

Chun-Sung Huang, Sure Mataramvura, John G. O'Hara

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

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

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Uses Software

• Derivatives

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Modelling jumps in electricity prices: theory and empirical evidence
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Modelling with Jump Processes