A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES

DOI10.4134/BKMS.B150283zbMath1338.91153OpenAlexW2443429865MaRDI QIDQ2812471

In-Suk Wee, Jeongsim Kim, Jerim Kim, Bara Kim

Publication date: 16 June 2016

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=467763

zbMATH Keywords

Heston modeldiscrete monitoringgeneralized Fourier transformgeometric Asian option

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)

Related Items (1)

An asymptotic expansion method for geometric Asian options pricing under the double Heston model

This page was built for publication: A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES