Fourier transform of the continuous arithmetic Asian options PDE

DOI10.5402/2011/643749zbMath1238.91143OpenAlexW2097194406WikidataQ58689912 ScholiaQ58689912MaRDI QIDQ420220

Zieneb Ali Elshegmani, Rokiah Rozita Ahmad

Publication date: 21 May 2012

Published in: ISRN Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5402/2011/643749

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• A different approach for pricing Asian options
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Pricing Asian options in a semimartingale model
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS

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