Bull. Korean Math. Soc. 2016; 53(3): 733-749
Printed May 31, 2016
https://doi.org/10.4134/BKMS.b150283
Copyright © The Korean Mathematical Society.
Bara Kim, Jeongsim Kim, Jerim Kim, and In-Suk Wee
Korea University, Chungbuk National University, Yong In University, Korea University
We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit formula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.
Keywords: discrete monitoring, geometric Asian option, Heston model, generalized Fourier transform
MSC numbers: Primary 91B28, 65C20
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