Discrete Asian Call Option Price

Posted by Chun-Yuan Chiu

Discrete Asian Call Option Price

Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Number of partitions
Number of grid points
Window [-c, c], c =
Call value

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

 •  Mar 3, 2013  • 

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