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Fast Fourier Transform for Discrete Asian Options · Study

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PreprintFast Fourier Transform for Discrete Asian Options

Eric Benhamou2001

OA

Preprintgreen2001

Fast Fourier Transform for Discrete Asian Options

24 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 2003Options, Futures and Other Derivatives 1999Option valuation using the fast Fourier transform 1987The Pricing of Options on Assets with Stochastic Volatilities 1990A pricing method for options based on average asset values

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2002Fast Fourier transform for discrete Asian optionsarticle · 12 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2002A Dynamic Programming Procedure for Pricing American-Style Asian Optionsarticle · 7 shared references 2007Accurate pricing formulas for Asian optionsarticle · 7 shared references 2005Static Hedging of Asian Options under Lévy Modelsarticle · 6 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.269491

openalex_workW1607335281

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