A recursive method for discretely monitored geometric Asian option prices

Bara Kim, Jeongsim Kim, Jerim Kim, In-Suk Wee

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2 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)733-749
Number of pages17
JournalBulletin of the Korean Mathematical Society
Issue number3
Publication statusPublished - 2016



  • Discrete monitoring
  • Generalized Fourier transform
  • Geometric Asian option
  • Heston model

ASJC Scopus subject areas

  • Mathematics(all)

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