Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

Zhang, B.; Oosterlee, Cornelis W.

doi:10.1016/j.apnum.2013.11.004

Cited by 20 publications

(12 citation statements)

References 15 publications

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“…The finite difference method has the idea of discretizing domains with several grid points and using the finite difference to estimate derivatives at these grids [5]. The Finite Difference method assumes that the model grids can be structured or unstructured.…”

Section: Finite Difference For Heston Pdementioning

confidence: 99%

Pricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA

Pranowo

2020

Int.J.Appl.Sci.Smart Technol.

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An option is a financial instrument in which two parties agree to exchange assets at a price or strike and the date or maturity is predetermined. Options can provide investors with information to set strategies so they can increase profits and reduce risk. Option prices need to be accurately evaluated according to reality and quickly so that the resulting value can be utilized at the best momentum. Valuation of option prices can use the Heston equation model which has advantages compared to other equation models because the assumption of volatility is not constant with time or stochastic volatility.The volatility that is not constant with time corresponds to reality because the underlying asset as a basis can experience fluctuations. The Heston equation has a disadvantage because it is a derivative equation that is difficult to solve. One way to solve derivative equations easily is to use a numerical solution to the finite difference method of non-uniform grids because the Heston equation can be assumed to be a parabolic equation. The numerical solution of the finite difference method can solve derivative equations flexibly and do not require matrix processing. But it requires a heavy and slow computing process because there are many elements of

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Section: Finite Difference For Heston Pdementioning

confidence: 99%

Pricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA

Pranowo

2020

Int.J.Appl.Sci.Smart Technol.

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“…where P (t) is the payoff of an arithmetic Asian put option with the underlying asset A t . Methods on how to evaluate such options can be found in [28] and [29].…”

Section: Minimum Guarantees Dynamicsmentioning

confidence: 99%

A empirical study on annuity pricing with minimum guarantees

Juma¹,

Lee²

2017

ams

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Minimum guaranteed benefits are the features of variable annuities which protect the annuitants against unfavorable changes in the economic conditions. Pricing such minimum guarantees pose a challenge to the annuity issuers, as many factors need to be taken into account for pricing the product. This study focuses on the pricing of guaranteed minimum death and accounts benefits which are embedded in flexible premium variable annuity. The study wishes to evaluate the impact of various factors: mortality improvements, volatility models, initial contribution, subsequent contributions, interest rate, guaranteed rate and accumulation period on the annuity prices. Using simulation results, this research provides useful information about the impact of these factors on the annuity pricing to both annuity providers/buyers and academia.

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“…where P (t) is the payoff of an arithmetic Asian put option with the underlying asset A t . Methods on how to evaluate such options can be found in [17], [18], [19].…”

Section: Minimum Guarantees Dynamicsmentioning

confidence: 99%

A study of impact of stochastic volatility on variable annuity pricing

Juma¹,

Lee²,

Goh³

et al. 2016

ams

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Variable annuities play an important role in protecting one's future income. The pricing of such annuities remain a big challenge to the annuities' issuers due to the presence of embedded options. Many variable annuity pricing methodologies employ constant volatility assumption for the movement of the underlying asset, which is not the case in real market. In this study, we propose a new pricing model that can account for stochastic volatility, by incorporating the Heston model into our pricing framework. Heston model is one of the commonly used methods to model volatility. Using this new pricing framework, we evaluate the mortality and expenses (M&E) fee charged by the issuers for a group of male and female aged 50-69. The M&E fee evaluated based on the constant volatility pricing model will be compared to the results obtained using our framework. Mathematics Subject Classification: 91G80

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Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

Cited by 20 publications

References 15 publications

Pricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA

Pricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA

A empirical study on annuity pricing with minimum guarantees

A study of impact of stochastic volatility on variable annuity pricing

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