We develop a new method for pricing options on discretely sampled arithmetic average in exponential L'evy models. The main idea is the reduction to a backward induction procedure for the difference W_n between the Asian option with averaging over n sampling periods and the price of the European...

Fast Fourier transform (FFT) method is now a standard calibration engine. However, in many situations, such as pricing of deep out-of-the-money European options, FFT produces large errors. We propose fast and accurate realizations of Integration-Along-Cut method (IAC method), which explicitly...