Pricing Bermudan options under local Lévy models with default

DOI10.1016/j.jmaa.2017.01.071zbMath1377.91155arXiv1604.08735OpenAlexW2343894632MaRDI QIDQ2408753

Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee

Publication date: 13 October 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.08735

zbMATH Keywords

asymptotic expansionlocal Lévy modelBermudan optiondefaultable assetFourier-cosine expansion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (5)

On the data-driven COS method ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK ⋮ Efficient Computation of Various Valuation Adjustments Under Local Lévy Models ⋮ CCF approach for asymptotic option pricing under the CEV diffusion

Uses Software

• BENCHOP

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• A jump to default extended CEV model: an application of Bessel processes
• A probabilistic interpretation of the parametrix method
• PDE and martingale methods in option pricing.
• Pricing vulnerable claims in a Lévy-driven model
• A family of density expansions for Lévy-type processes
• BENCHOP – The BENCHmarking project in option pricing
• Adjoint Expansions in Local Lévy Models
• The Smile of Certain Lévy-Type Models
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
• Analytical Expansions for Parabolic Equations
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

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