SWIFT valuation of discretely monitored arithmetic Asian options

In this work, we propose an efficient and robust valuation of discretely monitored arithmetic Asian options based on Shannon wavelets. We employ the so-called SWIFT method, a Fourier inversion numerical technique with several important advantages with respect to the existing related methods. Particu...

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Detalles Bibliográficos
Autores: Leitao, Alvaro, Ortiz Gracia, Luis, Wagner, Emma I.
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2018
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/127590
Acceso en línea:https://hdl.handle.net/2445/127590
Access Level:acceso abierto
Palabra clave:Anàlisi financera
Anàlisi de Fourier
Matemàtica financera
Àsia
Investment analysis
Fourier analysis
Business mathematics
Asia
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repository_id_str
spelling SWIFT valuation of discretely monitored arithmetic Asian optionsLeitao, AlvaroOrtiz Gracia, LuisWagner, Emma I.Anàlisi financeraAnàlisi de FourierMatemàtica financeraÀsiaInvestment analysisFourier analysisBusiness mathematicsAsiaIn this work, we propose an efficient and robust valuation of discretely monitored arithmetic Asian options based on Shannon wavelets. We employ the so-called SWIFT method, a Fourier inversion numerical technique with several important advantages with respect to the existing related methods. Particularly interesting is that SWIFT provides mechanisms to determine all the free-parameters in the method, based on a prescribed precision in the density approximation. The method is applied to two general classes of dynamics: exponential Lévy models and square-root diffusions. Through the numerical experiments, we show that SWIFT outperforms state-of-the-art methods in terms of accuracy and robustness, and shows an impressive speed in execution time.Elsevier B.V.2019202020182019info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion20 p.application/pdfhttps://hdl.handle.net/2445/127590Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió postprint del document publicat a: https://doi.org/10.1016/j.jocs.2018.07.004Journal Of Computational Science, 2018, vol. 28, num. September, p. 120-139https://doi.org/10.1016/j.jocs.2018.07.004cc-by-nc-nd (c) Elsevier B.V., 2018http://creativecommons.org/licenses/by-nc-nd/3.0/esinfo:eu-repo/semantics/openAccessoai:recercat.cat:2445/1275902026-05-29T05:05:01Z
dc.title.none.fl_str_mv SWIFT valuation of discretely monitored arithmetic Asian options
title SWIFT valuation of discretely monitored arithmetic Asian options
spellingShingle SWIFT valuation of discretely monitored arithmetic Asian options
Leitao, Alvaro
Anàlisi financera
Anàlisi de Fourier
Matemàtica financera
Àsia
Investment analysis
Fourier analysis
Business mathematics
Asia
title_short SWIFT valuation of discretely monitored arithmetic Asian options
title_full SWIFT valuation of discretely monitored arithmetic Asian options
title_fullStr SWIFT valuation of discretely monitored arithmetic Asian options
title_full_unstemmed SWIFT valuation of discretely monitored arithmetic Asian options
title_sort SWIFT valuation of discretely monitored arithmetic Asian options
dc.creator.none.fl_str_mv Leitao, Alvaro
Ortiz Gracia, Luis
Wagner, Emma I.
author Leitao, Alvaro
author_facet Leitao, Alvaro
Ortiz Gracia, Luis
Wagner, Emma I.
author_role author
author2 Ortiz Gracia, Luis
Wagner, Emma I.
author2_role author
author
dc.subject.none.fl_str_mv Anàlisi financera
Anàlisi de Fourier
Matemàtica financera
Àsia
Investment analysis
Fourier analysis
Business mathematics
Asia
topic Anàlisi financera
Anàlisi de Fourier
Matemàtica financera
Àsia
Investment analysis
Fourier analysis
Business mathematics
Asia
description In this work, we propose an efficient and robust valuation of discretely monitored arithmetic Asian options based on Shannon wavelets. We employ the so-called SWIFT method, a Fourier inversion numerical technique with several important advantages with respect to the existing related methods. Particularly interesting is that SWIFT provides mechanisms to determine all the free-parameters in the method, based on a prescribed precision in the density approximation. The method is applied to two general classes of dynamics: exponential Lévy models and square-root diffusions. Through the numerical experiments, we show that SWIFT outperforms state-of-the-art methods in terms of accuracy and robustness, and shows an impressive speed in execution time.
publishDate 2018
dc.date.none.fl_str_mv 2018
2019
2019
2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/127590
url https://hdl.handle.net/2445/127590
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1016/j.jocs.2018.07.004
Journal Of Computational Science, 2018, vol. 28, num. September, p. 120-139
https://doi.org/10.1016/j.jocs.2018.07.004
dc.rights.none.fl_str_mv cc-by-nc-nd (c) Elsevier B.V., 2018
http://creativecommons.org/licenses/by-nc-nd/3.0/es
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by-nc-nd (c) Elsevier B.V., 2018
http://creativecommons.org/licenses/by-nc-nd/3.0/es
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 20 p.
application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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