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.
Bibliographical noteFunding Information:
B. Kim’s research was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIP) (No. 2014R1A2A2A01005831)
© 2016 Korean Mathematical Society.
- Discrete monitoring
- Generalized Fourier transform
- Geometric Asian option
- Heston model
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