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

Pricing Asian options is a long-standing hard problem; there is no analytical formula for the probability density of its payoff even when the process of the underlying asset follows the simple lognormal diffusion process. It is known that the density function of a discretely-sampled Asian option’s p...

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Bibliographic Details
Published in:Applied mathematics and computation Vol. 252; pp. 418 - 437
Main Authors: Chiu, Chun-Yuan, Dai, Tian-Shyr, Lyuu, Yuh-Dauh
Format: Journal Article
Language:English
Published: Elsevier Inc 01.02.2015
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ISSN:0096-3003, 1873-5649
Online Access:Get full text
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