Por favor, use este identificador para citar o enlazar este documento: https://hdl.handle.net/2445/127590
Título: SWIFT valuation of discretely monitored arithmetic Asian options
Autor: Leitao, Alvaro
Ortiz Gracia, Luis
Wagner, Emma I.
Materia: Anàlisi financera
Anàlisi de Fourier
Matemàtica financera
Àsia
Investment analysis
Fourier analysis
Business mathematics
Asia
Fecha de publicación: 2018
Publicado por: Elsevier B.V.
Resumen: 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.
Nota: Versió postprint del document publicat a: https://doi.org/10.1016/j.jocs.2018.07.004
Es parte de: Journal Of Computational Science, 2018, vol. 28, num. September, p. 120-139
URI: https://hdl.handle.net/2445/127590
Recurso relacionado: https://doi.org/10.1016/j.jocs.2018.07.004
ISSN: 1877-7503
Aparece en las colecciones:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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