Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

DOI10.1137/120862053zbMath1258.91222OpenAlexW2123317156MaRDI QIDQ4903748

M. J. Ruijter, Cornelis W. Oosterlee

Publication date: 24 January 2013

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/120862053

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical methods for trigonometric approximation and interpolation (65T40)

Related Items (52)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ Binomial tree method for option pricing: discrete cosine transform approach ⋮ A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models ⋮ VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY ⋮ A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options ⋮ Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options ⋮ APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation ⋮ A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ High-order ADI scheme for option pricing in stochastic volatility models ⋮ THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Spectral element method for parabolic initial value problem with non-smooth data: analysis and application ⋮ High-order compact finite difference scheme for option pricing in stochastic volatility jump models ⋮ Pricing two-asset rainbow options with the fast Fourier transform ⋮ Efficient numerical Fourier methods for coupled forward-backward SDEs ⋮ High-order methods for the option pricing under multivariate rough volatility models ⋮ Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps ⋮ COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK ⋮ Fractional factorial designs for Fourier-cosine models ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models ⋮ Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion ⋮ Rational Models for Inflation-Linked Derivatives ⋮ The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks ⋮ The COS method for option valuation under the SABR dynamics ⋮ A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options ⋮ Volatility swaps and volatility options on discretely sampled realized variance ⋮ A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models ⋮ Convertible bond valuation in a jump diffusion setting with stochastic interest rates ⋮ Radial basis function partition of unity operator splitting method for pricing multi-asset American options ⋮ BENCHOP – The BENCHmarking project in option pricing ⋮ Pricing Bermudan options under Merton jump-diffusion asset dynamics ⋮ Semi-analytical prices for lookback and barrier options under the Heston model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Efficient pricing of European options on two underlying assets by frame duality ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Precise option pricing by the COS method -- how to choose the truncation range ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model ⋮ Pricing of spread and exchange options in a rough jump-diffusion market ⋮ An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions ⋮ A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk ⋮ Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect

This page was built for publication: Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options