کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4645196 | 1632195 | 2014 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات محاسباتی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions](/preview/png/4645196.png)
چکیده انگلیسی
In this article, we propose a pricing method for Asian options with early-exercise features. It is based on a two-dimensional integration and a backward recursion of the Fourier coefficients, in which several numerical techniques, like Fourier cosine expansions, Clenshaw-Curtis quadrature and the Fast Fourier Transform (FFT) are employed. Rapid convergence of the pricing method is illustrated by an error analysis. Its performance is further demonstrated by various numerical examples, where we also show the power of an implementation on Graphics Processing Units (GPUs).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Numerical Mathematics - Volume 78, April 2014, Pages 14-30
Journal: Applied Numerical Mathematics - Volume 78, April 2014, Pages 14-30
نویسندگان
B. Zhang, C.W. Oosterlee,