Moments of integrated exponential Levy processes and applications to Asian options pricing

被引：3

作者：

Brignone, Riccardo ^{[1
]}

机构：

[1] Univ Freiburg, Inst Econ Res, Dept Quantitat Finance, Rempartstr 16, D-79098 Freiburg, Germany

来源：

QUANTITATIVE FINANCE | 2022年 / 22卷 / 09期

关键词：

Asian options; Exact simulation; Levy processes; Moment-based approximations; STOCHASTIC VOLATILITY; EXACT SIMULATION; MATCHING APPROXIMATIONS; AMERICAN;

D O I：

10.1080/14697688.2022.2070533

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find explicit formulas for the moments of the time integral of an exponential Levy process. We consider both the cases of unconditional moments and conditional on the Levy process level at the endpoints of the time interval. We propose a new methodology for reconstructing the unknown density of the time integral based on unconditional moments and an efficient simulation scheme based on conditional moments. These methodologies are applied for Asian option pricing, an important problem in financial literature.

引用

页码：1717 / 1729

页数：13

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