A transform-based method for pricing Asian options under general two-dimensional models

DOI10.1080/14697688.2023.2256358zbMath1530.91615OpenAlexW4387036971MaRDI QIDQ6067803

Weinan Zhang, Pingping Zeng

Publication date: 14 December 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2256358

zbMATH Keywords

fast Fourier transformtwo-dimensional modelsarithmetic Asian optionsextended double spiral method

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)

Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps

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