Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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A RECURSIVE METHOD FOR DISCRETELY MONITORED GEOMETRIC ASIAN OPTION PRICES

  • Kim, Bara (Department of Mathematics Korea University) ;
  • Kim, Jeongsim (Department of Mathematics Education Chungbuk National University) ;
  • Kim, Jerim (Department of Business Administration Yong In University) ;
  • Wee, In-Suk (Department of Mathematics Korea University)
  • Received : 2015.04.24
  • Published : 2016.05.31
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Abstract

We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit formula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.

Keywords

Acknowledgement

Supported by : National Research Foundation of Korea (NRF), National Institute of Mathematics Sciences(NIMS)

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