Print Email Facebook Twitter Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions Title Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions Author Zhang, B. Oosterlee, C.W. Faculty Electrical Engineering, Mathematics and Computer Science Department Delft Institute of Applied Mathematics Date 2013-05-16 Abstract We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The exponential convergence rates of Fourier cosine expansions and Clenshaw–Curtis quadrature reduces the CPU time of the method to milliseconds for geometric Asian options and a few seconds for arithmetic Asian options. The method’s accuracy is illustrated by a detailed error analysis and by various numerical examples. Subject arithmetic Asian optionsexponential Lévy asset price processesFourier cosine expansionsClenshawCurtis quadratureexponential convergence To reference this document use: http://resolver.tudelft.nl/uuid:8594fe0e-f359-426c-8cb6-271bff80cc15 DOI https://doi.org/10.1137/110853339 Publisher Society for Industrial and Applied Mathematics (SIAM) ISSN 1945-497X Source https://doi.org/10.1137/110853339 Source SIAM Journal on Financial Mathematics, 4 (1), 2013 Part of collection Institutional Repository Document type journal article Rights © 2013 SIAM Files PDF Zhang_2013.pdf 304.34 KB Close viewer /islandora/object/uuid:8594fe0e-f359-426c-8cb6-271bff80cc15/datastream/OBJ/view