Pricing Discretely Monitored Asian Options by Maturity Randomization

DOI10.1137/09076115XzbMath1215.91079OpenAlexW1983468706MaRDI QIDQ3006713

Daniele Marazzina, Marina Marena, Gianluca Fusai

Publication date: 21 June 2011

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

Full work available at URL: https://doi.org/10.1137/09076115x

zbMATH Keywords

integral equationoption pricingfast Fourier transformquadrature formulaLévy processAsian optiondiscrete monitoring

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical integration (65D30)

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