A recursive method for discretely monitored geometric Asian option prices

Bara Kim; Jeongsim Kim; Jerim Kim; In Suk Wee

doi:10.4134/BKMS.b150283

A recursive method for discretely monitored geometric Asian option prices

Bara Kim, Jeongsim Kim, Jerim Kim, In Suk Wee

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	733-749
Number of pages	17
Journal	Bulletin of the Korean Mathematical Society
Volume	53
Issue number	3
DOIs	https://doi.org/10.4134/BKMS.b150283
Publication status	Published - 2016

Bibliographical note

Funding Information:
B. Kim’s research was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIP) (No. 2014R1A2A2A01005831)

Publisher Copyright:
© 2016 Korean Mathematical Society.

Keywords

Discrete monitoring
Generalized Fourier transform
Geometric Asian option
Heston model

ASJC Scopus subject areas

Mathematics(all)

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10.4134/BKMS.b150283

Cite this

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abstract = "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.",

keywords = "Discrete monitoring, Generalized Fourier transform, Geometric Asian option, Heston model",

author = "Bara Kim and Jeongsim Kim and Jerim Kim and Wee, {In Suk}",

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AU - Kim, Bara

AU - Kim, Jeongsim

AU - Kim, Jerim

AU - Wee, In Suk

N1 - Funding Information: B. Kim’s research was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIP) (No. 2014R1A2A2A01005831) Publisher Copyright: © 2016 Korean Mathematical Society.

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

KW - Discrete monitoring

KW - Generalized Fourier transform

KW - Geometric Asian option

KW - Heston model

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DO - 10.4134/BKMS.b150283

M3 - Article

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JF - Bulletin of the Korean Mathematical Society

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ER -

A recursive method for discretely monitored geometric Asian option prices

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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