Pricing Bermudan Options in Lévy Process Models

DOI10.1137/120881063zbMath1287.91141MaRDI QIDQ2873138

Liming Feng, Xiong Lin

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

Fourier transformoptimal stoppingfast Fourier transformHilbert transformLévy processsinc methodsearly exercise boundaryanalytic characteristic functionBermudan option

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10)

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