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http://hdl.handle.net/2445/127590
Title: | SWIFT valuation of discretely monitored arithmetic Asian options |
Author: | Leitao, Alvaro Ortiz Gracia, Luis Wagner, Emma I. |
Keywords: | Anàlisi financera Anàlisi de Fourier Matemàtica financera Àsia Investment analysis Fourier analysis Business mathematics Asia |
Issue Date: | 2018 |
Publisher: | Elsevier B.V. |
Abstract: | In this work, we propose an efficient and robust valuation of discretely monitored arithmetic Asian options based on Shannon wavelets. We employ the so-called SWIFT method, a Fourier inversion numerical technique with several important advantages with respect to the existing related methods. Particularly interesting is that SWIFT provides mechanisms to determine all the free-parameters in the method, based on a prescribed precision in the density approximation. The method is applied to two general classes of dynamics: exponential Lévy models and square-root diffusions. Through the numerical experiments, we show that SWIFT outperforms state-of-the-art methods in terms of accuracy and robustness, and shows an impressive speed in execution time. |
Note: | Versió postprint del document publicat a: https://doi.org/10.1016/j.jocs.2018.07.004 |
It is part of: | Journal Of Computational Science, 2018, vol. 28, num. September, p. 120-139 |
URI: | http://hdl.handle.net/2445/127590 |
Related resource: | https://doi.org/10.1016/j.jocs.2018.07.004 |
ISSN: | 1877-7503 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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