Huang, Chun-Sung and O'Hara, John G and Mataramvura, Sure (2017) Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. Journal of Computational and Applied Mathematics, 311. pp. 230-238. DOI https://doi.org/10.1016/j.cam.2016.07.019
Huang, Chun-Sung and O'Hara, John G and Mataramvura, Sure (2017) Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. Journal of Computational and Applied Mathematics, 311. pp. 230-238. DOI https://doi.org/10.1016/j.cam.2016.07.019
Huang, Chun-Sung and O'Hara, John G and Mataramvura, Sure (2017) Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. Journal of Computational and Applied Mathematics, 311. pp. 230-238. DOI https://doi.org/10.1016/j.cam.2016.07.019
Abstract
We propose an efficient pricing method for arithmetic Asian options based on Fourier-cosine expansions. In particular, we allow for mean reversion and jumps in the underlying price dynamics. There is an extensive body of empirical evidence in the current literature that points to the existence and prominence of such anomalies in the prices of certain asset classes, such as commodities. Our efficient pricing method is derived for the discretely monitored versions of the European-style arithmetic Asian options. The analytical solutions obtained from our Fourier-cosine expansions are compared to the benchmark fast Fourier transform based pricing for the examination of its accuracy and computational efficiency
Item Type: | Article |
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Uncontrolled Keywords: | Arithmetic Asian options; Fourier-cosine expansions; Fast Fourier transform; Mean reverting process; Jump-diffusion |
Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics > QA75 Electronic computers. Computer science |
Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 05 Aug 2016 13:34 |
Last Modified: | 30 Oct 2024 20:04 |
URI: | http://repository.essex.ac.uk/id/eprint/17370 |
Available files
Filename: SSRN-id2814554.pdf