An improved convolution algorithm for discretely sampled Asian options

DOI10.1080/14697680903397667zbMath1232.91653OpenAlexW2071288491MaRDI QIDQ3169216

Aleš Černý, Ioannis Kyriakou

Publication date: 28 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12180/6/CernyKyriakou.AsianOptions.vCRO-watermark.pdf

zbMATH Keywords

asset pricingperformance evaluationincomplete marketspath-dependent options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ Pricing exotic derivatives exploiting structure ⋮ A comprehensive mathematical approach to exotic option pricing ⋮ Jumps and stochastic volatility in crude oil prices and advances in average option pricing ⋮ Additive normal tempered stable processes for equity derivatives and power-law scaling ⋮ Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ An Efficient Transform Method for Asian Option Pricing ⋮ Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space ⋮ A general framework for pricing Asian options under stochastic volatility on parallel architectures ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options ⋮ A parallel wavelet-based pricing procedure for Asian options ⋮ Convertible bond valuation in a jump diffusion setting with stochastic interest rates ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Asian option pricing with orthogonal polynomials ⋮ Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models

Cites Work

• Necessary and Sufficient Conditions for Differentiating under the Integral Sign
• The value of an Asian option
• The Variance Gamma Process and Option Pricing
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Spectral Expansions for Asian (Average Price) Options

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