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- W4287201704 abstract "We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This series requires the computation of moments and correlators of the underlying price process, but for a polynomial jump-diffusion, these are given in closed form, hence no numerical simulation is required to evaluate the series. This allows, for example, for the explicit computation of Greeks. The weight function defining the Hermite polynomials is a Gaussian density with scale $b$. We find that the rate of convergence for the series depends on $b$, for which we prove a lower bound to guarantee convergence. Numerical examples show that the series expansion is accurate but unstable for initial values of the underlying process far from zero, mainly due to rounding errors." @default.
- W4287201704 created "2022-07-25" @default.
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- W4287201704 date "2021-04-23" @default.
- W4287201704 modified "2023-10-14" @default.
- W4287201704 title "Pricing Asian Options with Correlators" @default.
- W4287201704 doi "https://doi.org/10.48550/arxiv.2104.11684" @default.
- W4287201704 hasPublicationYear "2021" @default.
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