Print Email Facebook Twitter The Characteristic Function of the Time-Integral of Geometric Brownian Motion and its Application in Asian Option Pricing Title The Characteristic Function of the Time-Integral of Geometric Brownian Motion and its Application in Asian Option Pricing Author Wever, Teun (TU Delft Electrical Engineering, Mathematics and Computer Science) Contributor Fang, F. (graduation committee) Vuik, Cornelis (mentor) Papapantoleon, A. (graduation committee) Degree granting institution Delft University of Technology Programme Applied Mathematics Date 2023-03-17 Abstract In this research a new method for pricing continuous Arithmetic averaged Asian options is proposed. The computation is based on Fourier-cosine expansion, namely the COS method. Therefore, we derive the characteristic function of Integrated Geometric Brownian Motion based on Bougerol's identity. Extensive numerical error analysis on the CDF recovery of IGBM and the option prices is performed. Via numerical tests, the convergence of errors using our new method has been proved. We are able to price continuous Arithmetic averaged Asian options with a minimal error of order 10-2, and a maximum precision of order 10-5 within seconds. Subject Arithmetic Asian optionsFourier-Cosine ExpansionExponential convergenceIntegrated Geometric Brownian Motion To reference this document use: http://resolver.tudelft.nl/uuid:146d666d-f798-4f18-85b6-bd7569276b44 Part of collection Student theses Document type master thesis Rights © 2023 Teun Wever Files PDF Master_Thesis_Teun_Wever.pdf 1.43 MB Close viewer /islandora/object/uuid:146d666d-f798-4f18-85b6-bd7569276b44/datastream/OBJ/view