Numerical computation of an integral representation for arithmetic-average Asian options
The integrands in M. Schroder's integral representation for the price of Asian options are highly oscillatory yielding cancellations of many digits in the integration. Furthermore, obtaining multiple precision function values is costly. Numerical integration is nevertheless possible by using Hermitian quadrature formulas, techniques of automatic differentiation and explicit error bounds combined with interval arithmetic.
asian options hermitian quadrature formulas automatic differentiation validated integration