Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
复制标题
DOI：
10.1137/110853339
复制
发表时间：
2013-05
期刊：
影响因子：
--
通讯作者：
Bowen Zhang;C. Oosterlee
中科院分区：
文献类型：
--
作者：
Bowen Zhang;C. Oosterlee
基于Fourier余弦展开和Clenshaw-Curtis求积，提出了指数Levy过程下算术亚式期权和几何亚式期权的有效定价方法.该定价方法是为欧式和美式亚式期权和离散和连续监测的版本。本文主要研究欧式亚式期权。傅立叶余弦展开和Clenshaw-Curtis求积的指数收敛速度将几何亚式期权的CPU时间减少到毫秒，算术亚式期权的CPU时间减少到几秒。详细的误差分析和各种数值例子说明了该方法的精度。
We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Levy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The exponential convergence rates of Fourier cosine expansions and Clenshaw–Curtis quadrature reduces the CPU time of the method to milliseconds for geometric Asian options and a few seconds for arithmetic Asian options. The method’s accuracy is illustrated by a detailed error analysis and by various numerical examples.