A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES

Title & Authors
A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES
Kim, Bara; Kim, Jeongsim; Kim, Jerim; Wee, In-Suk;

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.
Keywords
discrete monitoring;geometric Asian option;Heston model;generalized Fourier transform;
Language
English
Cited by
1.
Pricing Asian options of discretely monitored geometric average in the regime-switching model, Applied Stochastic Models in Business and Industry, 2016, 32, 6, 743
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