A SIMPLE AMERICAN OPTION PRICING METHOD USING THE FAST FOURIER TRANSFORM
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Publication:3498242
DOI10.1142/S0219024907004603zbMath1152.91493MaRDI QIDQ3498242
Publication date: 28 May 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
- Pricing American-style securities using simulation
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Monte Carlo valuation of American options
- The Variance Gamma Process and Option Pricing
- Valuing American Options by Simulation: A Simple Least-Squares Approach