Pricing Asian Options with Fourier Convolution
Date Issued
2006
Date
2006
Author(s)
Shu, Cheng Hsiung
DOI
en-US
Abstract
This thesis investigates the fast Fourier transform-based pricing algorithm for discrete Asian options by Benhamou [1]. We compare it with other methods and combine it with extrapolation to increase numerical accuracy. We also apply it to the continuous case by using extrapolation. Running the algorithm with different numbers of grid points, we observe the convergence of option values both in the continuous case and in the discrete case. The disadvantages of the algorithm are also discussed.
Subjects
離散型亞式選擇權
連續型亞式選擇權
傅立葉轉換
旋積
機率密度函數
外插法
Discrete Asian Option
Continuous Asian Option
Fourier Transform
Convolution
Probability Density Function
Extrapolation
Type
thesis