A recursive method for discretely monitored geometric Asian option prices

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

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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
Volume53
Issue number3
DOIs
Publication statusPublished - 2016

Fingerprint

Asian Options
Recursive Method
Heston Model
Generalized Fourier Transform
Volatility
Explicit Formula
Numerical Results
Scenarios
Interval

Keywords

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

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

A recursive method for discretely monitored geometric Asian option prices. / Kim, Bara; Kim, Jeongsim; Kim, Jerim; Wee, In-Suk.

In: Bulletin of the Korean Mathematical Society, Vol. 53, No. 3, 2016, p. 733-749.

Research output: Contribution to journalArticle

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