Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes

DOI10.1016/j.amc.2014.12.002zbMath1338.91151OpenAlexW2043003322MaRDI QIDQ298749

Tian-Shyr Dai, Chun-Yuan Chiu, Yuh-Dauh Lyuu

Publication date: 21 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.12.002

zbMATH Keywords

fast Fourier transformAsian optionpricingNewton-Cotes integration formula

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)

Very fast algorithms for implied barriers and moving-barrier options pricing

Cites Work

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