Directory of Open Source for Quantitative Finance and Trading
Username: Password: Not registered?
 
Quick Search:    (AJAX based: No need to press button)

Main : C++ : 


Category: C++ View Full Details
Download Now!Asian Option Price using German Yor's approach
Submitter: vanna Date: 2007/1/30
Description:
Calculates price of Asian option using German and Yor approach as descrbed in paper On the valuation of Asian options: the Geman-Yor Laplace transform revisited, December 2000, 24pp
LaLaplaceTransform function in file asianpricer.cpp is based on function Dv(a,z) as described in page 7 of the paper.
Note:
1.To do the inverse laplace transform, integration is performed after the bigger pole (2v+2)
2.There is problem with integration function not behaving well for oscillations, hence chunks of quad ouput are used for convergence

Results are verified to values mentioned in FMW test problem 1,2,3 mentioned in page 5 of Pricing Asian Options by Contour Integration

Got a question or problem with this link? Just enter your message and click on submit. No registration is required.

Note: A copy of this message will also be emailed to the submitter of this link
Downloaded 727 times  727  File Size 0 bytes  Supported Platforms Visual C++ 6.0  Home Page http://www.quantcode.com/modules/docmanager/view_file.php?curent_file=13&curent_dir=12
Rating: 0.00 (0 votes)
Rate this File | Modify | Delete | Report Broken File | Tell a Friend | Comments (12)

Poster Thread
Anonymous
Posted: 2012/5/30 10:32  Updated: 2012/6/10 12:24
 Asian Option Price using German Yor's approach
Is there a step by step instruction to complie the program?

Discuss this file. Just enter your message and click on submit. No registration is required.
Similar Links:
Asian Option Price using PDE (Software)
Option Pricing - A Simplified Approach (Paper)
asian option pricing (Forum)
PRICING AMERICAN OPTIONS: A DUALITY APPROACH (Paper)
Asian option price using binomial tree (Software)

Subscribe to RSS or daily email updates of latest quantitative finance code listings
Email address :
Copyright © 2011 QuantCode Inc. All rights reserved.