Show parameters of the CGMY model (annulized)
Show inputs of the FFT pricing method
The settings of the derivative
The price of an Asian call option in the CGMY model. The calculation is based on FFT pricing. The algorithm is a sequence of operations on grid functions. We take uniform grid in the interval [-c, c]. For now the number of grid points can only be a power of 2.
Tagged: FFT, Asian Option, CGMY Model
• Mar 30, 2014 •
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