A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Bara | - |
dc.contributor.author | Kim, Jeongsim | - |
dc.contributor.author | Kim, Jerim | - |
dc.contributor.author | Wee, In-Sue | - |
dc.date.accessioned | 2021-09-04T00:16:52Z | - |
dc.date.available | 2021-09-04T00:16:52Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2016-05 | - |
dc.identifier.issn | 1015-8634 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/88831 | - |
dc.description.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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | KOREAN MATHEMATICAL SOC | - |
dc.subject | STOCHASTIC VOLATILITY MODEL | - |
dc.title | A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Bara | - |
dc.contributor.affiliatedAuthor | Wee, In-Sue | - |
dc.identifier.doi | 10.4134/BKMS.b150283 | - |
dc.identifier.scopusid | 2-s2.0-84971382215 | - |
dc.identifier.wosid | 000384820000009 | - |
dc.identifier.bibliographicCitation | BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY, v.53, no.3, pp.733 - 749 | - |
dc.relation.isPartOf | BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY | - |
dc.citation.title | BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY | - |
dc.citation.volume | 53 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 733 | - |
dc.citation.endPage | 749 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002109084 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics | - |
dc.subject.keywordPlus | STOCHASTIC VOLATILITY MODEL | - |
dc.subject.keywordAuthor | discrete monitoring | - |
dc.subject.keywordAuthor | geometric Asian option | - |
dc.subject.keywordAuthor | Heston model | - |
dc.subject.keywordAuthor | generalized Fourier transform | - |
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