A simple and efficient numerical method for pricing discretely monitored early-exercise options

DOI10.1016/J.AMC.2022.126985MaRDI QIDQ2113697zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 March 2022

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.13407

zbMATH Keywords

quadrature methodBermudan optionautocallable structured productdiscrete option pricingsingle and double barrier option

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Stochastic analysis (60Hxx) Stochastic processes (60Gxx)

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Cites work

• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• A continuity correction for discrete barrier options
• An exact analytical solution for discrete barrier options
• Connecting discrete and continuous path-dependent options
• Option pricing when underlying stock returns are discontinuous
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
• Pricing Bermudan options in Lévy process models
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Stochastic calculus for finance. II: Continuous-time models.
• The optimal method for pricing Bermudan options by simulation
• Weak convergence methods for approximation of the evaluation of path-dependent functionals

Cited in

(3)

• Efficient Computation of Hedging Parameters for Discretely Exercisable Options
• A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
• Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities

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