2014
Pricing of early-exercise Asian options under L\'evy processes based on Fourier cosine expansions
Publication
Publication
Applied Numerical Mathematics , Volume 78 p. 14- 30
In this article, we propose a pricing method for Asian options with early-exercise
features. It is based on a two-dimensional integration and a backward recursion of the
Fourier coefficients, in which several numerical techniques, like Fourier cosine expansions,
Clenshaw–Curtis quadrature and the Fast Fourier Transform (FFT) are employed. Rapid
convergence of the pricing method is illustrated by an error analysis. Its performance is
further demonstrated by various numerical examples, where we also show the power of
an implementation on Graphics Processing Units (GPUs).
Additional Metadata | |
---|---|
, , , , , | |
north-holland | |
doi.org/10.1016/j.apnum.2013.11.004 | |
Applied Numerical Mathematics | |
Organisation | Scientific Computing |
Zhang, B., & Oosterlee, K. (2014). Pricing of early-exercise Asian options under L\'evy processes based on Fourier cosine expansions. Applied Numerical Mathematics, 78, 14–30. doi:10.1016/j.apnum.2013.11.004 |