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A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES

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

  • Received : 2015.04.24
  • Published : 2016.05.31

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

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Cited by

  1. Pricing Asian options of discretely monitored geometric average in the regime-switching model vol.32, pp.6, 2016, https://doi.org/10.1002/asmb.2183

Acknowledgement

Supported by : National Research Foundation of Korea (NRF), National Institute of Mathematics Sciences(NIMS)