Efficient Pricing of Asian Options via the Fast Fourier Transform
Date Issued
2008
Date
2008
Author(s)
Chiu, Chun-Yuan
Abstract
Eric Benhamou''s pricing algorithm for Asian options (2002), which is an enhanced version of Carverhill and Clewlow''s algorithm (1992), is fexible and efficient. It can be adapted to non-normal returns and saves considerable computational time in Carverhill and Clewlow''s algorithm. This thesis presents schemes to speed up Benhamou''s algorithm further.
Subjects
fast fourier transform
fft
asian option
pricing
Type
thesis
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ntu-97-R94922072-1.pdf
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