Fourier Cosine Expansions and Put–Call Relations for Bermudan Options

DOI10.1007/978-3-642-25746-9_10zbMath1248.91097OpenAlexW135138975MaRDI QIDQ2917437

Bowen Zhang, Cornelis W. Oosterlee

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_10

zbMATH Keywords

option pricingerror analysisFourier-cosine expansionsearly-exercise optionsput-call parity and duality

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

COS method for option pricing under a regime-switching model with time-changed Lévy processes, Pricing Bermudan options under local Lévy models with default, Early exercise boundaries for American-style knock-out options, On a Neural Network to Extract Implied Information from American Options, Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

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