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SWIFT valuation of discretely monitored arithmetic Asian options

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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.

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Journal Of Computational Science, 2018, vol. 28, num. September, p. 120-139

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Articles publicats en revistes  (Econometria, Estadística i Economia Aplicada)

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SWIFT valuation of discretely monitored arithmetic Asian options