Fourier Cosine Expansions and Put–Call Relations for Bermudan Options

DOI10.1007/978-3-642-25746-9_10zbMath1248.91097MaRDI QIDQ2917437

Bowen Zhang, Cornelis W. Oosterlee

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_10

zbMATH Keywords

option pricing; error analysis; Fourier-cosine expansions; early-exercise options; put-call parity and duality

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65T50: Numerical methods for discrete and fast Fourier transforms

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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