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http://hdl.handle.net/2445/127590
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DC Field | Value | Language |
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dc.contributor.author | Leitao, Alvaro | - |
dc.contributor.author | Ortiz Gracia, Luis | - |
dc.contributor.author | Wagner, Emma I. | - |
dc.date.accessioned | 2019-01-24T14:35:59Z | - |
dc.date.available | 2020-12-31T06:10:16Z | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 1877-7503 | - |
dc.identifier.uri | http://hdl.handle.net/2445/127590 | - |
dc.description.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. | - |
dc.format.extent | 20 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.jocs.2018.07.004 | - |
dc.relation.ispartof | Journal Of Computational Science, 2018, vol. 28, num. September, p. 120-139 | - |
dc.relation.uri | https://doi.org/10.1016/j.jocs.2018.07.004 | - |
dc.rights | cc-by-nc-nd (c) Elsevier B.V., 2018 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Anàlisi financera | - |
dc.subject.classification | Anàlisi de Fourier | - |
dc.subject.classification | Matemàtica financera | - |
dc.subject.classification | Àsia | - |
dc.subject.other | Investment analysis | - |
dc.subject.other | Fourier analysis | - |
dc.subject.other | Business mathematics | - |
dc.subject.other | Asia | - |
dc.title | SWIFT valuation of discretely monitored arithmetic Asian options | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 684850 | - |
dc.date.updated | 2019-01-24T14:35:59Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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684850.pdf | 559.05 kB | Adobe PDF | View/Open |
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