Fourier Transform of the Continuous Arithmetic Asian Options PDE
Joint Authors
Elshegmani, Zieneb Ali
Ahmad, Rokiah Rozita
Source
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-09-26
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
Price of the arithmetic Asian options is not known in a closed-form solution, since arithmetic Asian option PDE is a degenerate partial differential equation in three dimensions.
In this work we provide a new method for computing the continuous arithmetic Asian option price by means of partial differential equations.
Using Fourier transform and changing some variables of the PDE we get a new direct method for solving the governing PDE without reducing the dimensionality of the PDE as most authors have done.
We transform the second-order PDE with nonconstant coefficients to the first order with constant coefficients, which can be solved analytically.
American Psychological Association (APA)
Elshegmani, Zieneb Ali& Ahmad, Rokiah Rozita. 2011. Fourier Transform of the Continuous Arithmetic Asian Options PDE. ISRN Applied Mathematics،Vol. 2011, no. 2011, pp.1-8.
https://search.emarefa.net/detail/BIM-487708
Modern Language Association (MLA)
Elshegmani, Zieneb Ali& Ahmad, Rokiah Rozita. Fourier Transform of the Continuous Arithmetic Asian Options PDE. ISRN Applied Mathematics No. 2011 (2011), pp.1-8.
https://search.emarefa.net/detail/BIM-487708
American Medical Association (AMA)
Elshegmani, Zieneb Ali& Ahmad, Rokiah Rozita. Fourier Transform of the Continuous Arithmetic Asian Options PDE. ISRN Applied Mathematics. 2011. Vol. 2011, no. 2011, pp.1-8.
https://search.emarefa.net/detail/BIM-487708
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-487708