An Efficient Transform Method for Asian Option Pricing

DOI10.1137/16M1057127zbMath1357.91053OpenAlexW3123835600MaRDI QIDQ2953943

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Publication date: 11 January 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1057127

zbMATH Keywords

PROJLévy processesoption pricingFFTfast Fourier transformcharacteristic functionbasisB-splineexotic optionsarithmetic Asian optionsframe projectionCOSCarverhill-Clewlow factorization

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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Uses Software

• PROJ_Option_Pricing_Matlab

Cites Work

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• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Pricing discrete barrier options and credit default swaps under Lévy processes
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