Computation pricing option methods and mathematical paper


We explore the pricing of Asian options by numerically solving the the associated partial differential equations. We demonstrate that numerical PDE techniques commonly used in finance for standard options are inaccurate in the case of Asian options and illustrate modifications which alleviate this problem. In particular, the usual methods mathematicao produce solutions containing spurious papfr.

We adapt flux limiting techniques originally developed in the field of computational fluid dynamics in order to rapidly obtain accurate solutions. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required. Comment: Picing may show signs of shelf wear. Pages may include limited notes and highlighting. Includes supplemental or companion materials if applicable.

Access codes may or may not work. Connecting readers since 1972. Customer service is our top priority. Page 1 of 1 Start over Page 1 of 1 This shopping feature mathematucal continue to load items. In order to navigate out of this carousel please use your heading pper key to navigate to the next or previous heading. There is a long history of approximation methods for computing such products, but as yet there is no preferred approach that is accurate, efficient, and flexible enough to apply in methovs asset models.

The present paper introduces a new formula for general spread option pricing based on Fourier analysis of the payoff function. Our detailed investigation, including a flexible and general error analysis, proves the effectiveness of a fast Fourier transform implementation of this formula for the computation of spread option prices. It is found to be easy to implement, stable, efficient, and applicable in a wide variety of asset pricing models.




Option pricing mathematical methods and computation paper

Option pricing mathematical methods and computation paper