A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

DOI10.1137/070683878zbMATH Open1170.91389OpenAlexW3121226382MaRDI QIDQ5320682FDOQ5320682

Authors:

Publication date: 22 July 2009

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070683878

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zbMATH Keywords

option pricingconvolutionAmerican optionsfast Fourier transformBermudan optionsLévy processes

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Complexity and performance of numerical algorithms (65Y20) Numerical methods for discrete and fast Fourier transforms (65T50)

Cited In (88)

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• A simple and efficient numerical method for pricing discretely monitored early-exercise options
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• Chebyshev interpolation for parametric option pricing
• A high-order finite difference method for option valuation
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Fourier transform of lookback option price
• American option valuation under time changed tempered stable Lévy processes
• Lewis model revisited: option pricing with Lévy processes
• FFT-network for bivariate Lévy option pricing
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
• Parallel option pricing with Fourier space time-stepping method on graphics processing units
• Closed-form option pricing for exponential Lévy models: a residue approach
• Robust barrier option pricing by frame projection under exponential Lévy dynamics
• Pricing of options in the singular perturbed stochastic volatility model
• Efficient options pricing using the fast Fourier transform
• Option pricing in some non-Lévy jump models
• Pricing American options under jump-diffusion models using local weak form meshless techniques
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
• An RBF-FD method for pricing American options under jump-diffusion models
• Pricing exotic derivatives exploiting structure
• Fast Fourier transform approximation of foreign currency option pricing based on exponential Levy model
• CCF approach for asymptotic option pricing under the CEV diffusion
• An efficient algorithm for Bermudan barrier option pricing
• A new radial basis functions method for pricing American options under Merton's jump-diffusion model
• Numerical valuation of European and American options under Merton's model
• Complex logarithms in Heston-like models
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• An unsupervised deep learning approach to solving partial integro-differential equations
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• Computation of powered option prices under a general model for underlying asset dynamics
• Double barrier options in regime-switching hyper-exponential jump-diffusion models
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• A fast finite difference method for tempered fractional diffusion equations
• Optimal importance sampling for Lévy processes
• On coordinate transformation and grid stretching for sparse grid pricing of basket options
• Solving high-dimensional optimal stopping problems using deep learning
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• Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• Binomial tree method for option pricing: discrete cosine transform approach
• General closed-form basket option pricing bounds
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method
• Z-Transform and preconditioning techniques for option pricing
• A fast numerical method to price American options under the Bates model
• A convolution method for numerical solution of backward stochastic differential equations
• Valuation of American options under the CGMY model
• An improved convolution algorithm for discretely sampled Asian options
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
• Lookback option pricing using the Fourier transform B-spline method
• Valuing early-exercise interest-rate options with multi-factor affine models
• Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
• Fast and accurate calculation of American option prices
• A high order finite difference method for tempered fractional diffusion equations with applications to the CGMY model
• Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• Short time behavior of the ATM implied skew in the ADO-Heston model
• Pricing two-asset rainbow options with the fast Fourier transform
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• The valuation of American options with the stochastic liquidity risk and jump risk
• ESO Valuation with Job Termination Risk and Jumps in Stock Price
• A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
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• Method of paired contours and pricing barrier options and CDSs of long maturities
• A Fourier transform method for solving backward stochastic differential equations
• Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
• The bilateral Gamma motion: calibration and option pricing
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
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• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
• Valuation of forward start options under affine jump-diffusion models
• Pricing American options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation

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