We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit for- mula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.
- Discrete monitoring
- Generalized Fourier transform
- Geometric Asian option
- Heston model
ASJC Scopus subject areas