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- Title
Valoración analítica de opciones asiáticas aritméticas continuas mediante transformadas de Fourier.
- Authors
Guavita F., Diana L.; Moreno T., John F.
- Abstract
The second-order partial differential equation associated with the problem of pricing continuous arithmetic Asian options is presented, together with the application of the Fourier transform on the terms of the resulting equation after a series of variable changes. An analytical solution is obtained for the value of this type of options.
- Subjects
PARTIAL differential equations; FOURIER transforms; ANALYTICAL solutions; EQUATIONS; ARITHMETIC
- Publication
ODEON - Observatorio de Economía y Operaciones Numéricas, 2019, Issue 17, p157
- ISSN
1794-1113
- Publication type
Article
- DOI
10.18601/17941113.n17.06