Pricing Bermudan options in Lévy process models
DOI10.1137/120881063zbMATH Open1287.91141MaRDI QIDQ2873138FDOQ2873138
Authors: Liming Feng, Xiong Lin 
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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Fourier transformoptimal stoppingfast Fourier transformsinc methodsHilbert transformearly exercise boundaryanalytic characteristic functionBermudan optionLévy process
Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical methods for integral transforms (65R10)
Cited In (30)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- A simple and efficient numerical method for pricing discretely monitored early-exercise options
- Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
- Bermudan option valuation under state-dependent models
- Fourier space time-stepping for option pricing with Lévy models
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Pricing Bermudan options under local Lévy models with default
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- Hilbert transform, spectral filters and option pricing
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Pricing Bermudan Options via Multilevel Approximation Methods
- A Series Solution for Bermudan Options
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Valuing Bermudan options when asset returns are Lévy processes
- Machine Learning of Space-Fractional Differential Equations
- Efficient pricing of Bermudan options using recombining quadratures
- A fast finite difference method for tempered fractional diffusion equations
- Pricing and exercising American options: an asymptotic expansion approach
- Valuation of American options under the CGMY model
- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
- A high order finite difference method for tempered fractional diffusion equations with applications to the CGMY model
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