Leitao, AlvaroOrtiz Gracia, LuisWagner, Emma I.2019-01-242020-12-3120181877-7503https://hdl.handle.net/2445/127590In 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.20 p.application/pdfengcc-by-nc-nd (c) Elsevier B.V., 2018http://creativecommons.org/licenses/by-nc-nd/3.0/esAnàlisi financeraAnàlisi de FourierMatemàtica financeraÀsiaInvestment analysisFourier analysisBusiness mathematicsAsiainfo:eu-repo/semantics/article6848502019-01-24info:eu-repo/semantics/openAccess