Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions

Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

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...

Efficient Pricing of Early–Exercise and Exotic Options Based on Fourier Cosine Expansions

An efficient pricing algorithm for swing options based on Fourier cosine expansions

Swing options give contract holders the right to modify amounts of future delivery of certain commodities, such as electricity or gas. We assume that these options can be exercised at any time before the end of the contract, and more than once. However, a recovery time between any two consecutive exercise dates is incorporated as a constraint to avoid continuous exercise. We introduce an effici...

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

We present a pricing method based on Fourier-cosine expansions for early-exercise and discretely-monitored barrier options. The method works well for exponential Lévy asset price models. The error convergence is exponential for processes characterized by very smooth (C[a, b] ∈ R) transitional probability density functions. The computational complexity is O((M − 1)N logN) with N a (small) number...

DELFT UNIVERSITY OF TECHNOLOGY REPORT 11-11 Efficient Pricing of Asian Options under Lévy Processes based on Fourier Cosine Expansions Part I: European-Style Products

We propose an efficient pricing method for arithmetic, and geometric, Asian options under 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 European–style Asian options; American-style ...