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A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES
- Authors
- Kim, Bara; Kim, Jeongsim; Kim, Jerim; Wee, In-Sue
- Issue Date
- 5월-2016
- Publisher
- KOREAN MATHEMATICAL SOC
- Keywords
- discrete monitoring; geometric Asian option; Heston model; generalized Fourier transform
- Citation
- BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY, v.53, no.3, pp.733 - 749
- Indexed
- SCIE
SCOPUS
KCI
- Journal Title
- BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY
- Volume
- 53
- Number
- 3
- Start Page
- 733
- End Page
- 749
- ISSN
- 1015-8634
- Abstract
- We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit formula 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.
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