Input: |
Show parameters of the CGMY model (annulized)
Show inputs of the FFT pricing method
The settings of the derivative
The price of an Asian call option in the CGMY model. The calculation is based on FFT pricing. The algorithm is a sequence of operations on grid functions. We take uniform grid in the interval [-c, c]. For now the number of grid points can only be a power of 2.
Tagged: FFT, Asian Option, CGMY Model
• Mar 30, 2014 •
Why this website?
This website, QuantCalc, offers varied financial math calculators, hedging methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, hedging and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.
Copyright 2012-2017 Szu-Yu Pai |