Print Email Facebook Twitter Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions. Part II. Early-exercise features and GPU implementation Title Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions. Part II. Early-exercise features and GPU implementation Author Zhang, B. Van der Weide, J.A.M. Oosterlee, C.W. Faculty Electrical Engineering, Mathematics and Computer Science Date 2012-03-31 Abstract In this article, we propose an efficient pricing method for Asian options with early–exercise features. It is based on a two–dimensional integration and a backward recursion of the Fourier coefficients, in which several numerical techniques, like Fourier cosine expansions, Clenshaw–Curtis quadrature and the Fast Fourier transform (FFT) are employed. Rapid convergence of the pricing method is illustrated by an error analysis. Its performance is further demonstrated by various numerical examples, where we also show the power of an implementation on the Graphics Processing Unit (GPU). Subject earlyexercise Asian option; arithmetic average; Fourier cosine expansion; chain rule; ClenshawCurtis quadrature; exponential convergence; graphics processing unit (GPU) computation To reference this document use: http://resolver.tudelft.nl/uuid:3aa47d1d-11bf-4bd8-85ae-c05bacfe7c24 Publisher Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics ISSN 1389-6520 Source Reports of the Department of Applied Mathematical Analysis, 12-03 Part of collection Institutional Repository Document type report Rights (c)2012 Zhang, B., Van der Weide, J.A.M., Oosterlee, C.W. Files PDF Bowen_12-03.pdf 316.1 KB Close viewer /islandora/object/uuid:3aa47d1d-11bf-4bd8-85ae-c05bacfe7c24/datastream/OBJ/view