A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
From MaRDI portal
Publication:5320682
DOI10.1137/070683878zbMath1170.91389MaRDI QIDQ5320682
No author found.
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
Lévy processes; convolution; option pricing; fast Fourier transform; American options; Bermudan options
62P05: Applications of statistics to actuarial sciences and financial mathematics
60E10: Characteristic functions; other transforms
65T50: Numerical methods for discrete and fast Fourier transforms
65Y20: Complexity and performance of numerical algorithms
Related Items
Valuation of American options under the CGMY model, Jumps and stochastic volatility in crude oil prices and advances in average option pricing, Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method, Singular Fourier–Padé series expansion of European option prices, Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals, A New Approach for American Option Pricing: The Dynamic Chebyshev Method, Convertible bond valuation in a jump diffusion setting with stochastic interest rates, A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model, Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models, A new radial basis functions method for pricing American options under Merton's jump-diffusion model, Pricing high-dimensional Bermudan options using the stochastic grid method, Pricing American options under jump-diffusion models using local weak form meshless techniques, General closed-form basket option pricing bounds, Valuation of forward start options under affine jump-diffusion models, Solving high-dimensional optimal stopping problems using deep learning, CCF approach for asymptotic option pricing under the CEV diffusion, Isogeometric analysis in option pricing, VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY, SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS, An unsupervised deep learning approach to solving partial integro-differential equations, Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series, An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes, A Fast Finite Difference Method for Tempered Fractional Diffusion Equations, Lookback option pricing using the Fourier transform B-spline method, Robust barrier option pricing by frame projection under exponential Lévy dynamics, Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes, Efficient pricing of swing options in Lévy-driven models, Option Pricing in Some Non-Lévy Jump Models, Pricing exotic derivatives exploiting structure, Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options, Fourier transform of lookback option price, A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE, A fast numerical method to price American options under the Bates model, A convolution method for numerical solution of backward stochastic differential equations, An iterative method for pricing American options under jump-diffusion models, The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach, A posteriori error analysis for a class of integral equations and variational inequalities, Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions, On coordinate transformation and grid stretching for sparse grid pricing of basket options, Numerical methods for Lévy processes, Parallel option pricing with Fourier space time-stepping method on graphics processing units, American option valuation under time changed tempered stable Lévy processes, Chebyshev interpolation for parametric option pricing, A unified approach to Bermudan and barrier options under stochastic volatility models with jumps, A high-order finite difference method for option valuation, Fast and accurate calculation of American option prices, RBF-PU method for pricing options under the jump-diffusion model with local volatility, Multivariate FX models with jumps: triangles, quantos and implied correlation, An efficient algorithm for Bermudan barrier option pricing, Lewis model revisited: option pricing with Lévy processes, FFT-network for bivariate Lévy option pricing, Computation of powered option prices under a general model for underlying asset dynamics, Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm, A simple and efficient numerical method for pricing discretely monitored early-exercise options, Binomial tree method for option pricing: discrete cosine transform approach, An RBF-FD method for pricing American options under jump-diffusion models, Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process, Neural network regression for Bermudan option pricing, Optimal importance sampling for Lévy processes, Pricing of options in the singular perturbed stochastic volatility model, Pricing Bermudan options under local Lévy models with default, Option pricing with Legendre polynomials, A Fourier transform method for solving backward stochastic differential equations, A finite elements approach for spread contract valuation via associated two-dimensional PIDE, VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS, Z-Transform and preconditioning techniques for option pricing, Fourier Cosine Expansions and Put–Call Relations for Bermudan Options, ESO Valuation with Job Termination Risk and Jumps in Stock Price, Efficient Option Pricing by Frame Duality with the Fast Fourier Transform, Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing, DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS, Efficient Options Pricing Using the Fast Fourier Transform, COMPLEX LOGARITHMS IN HESTON-LIKE MODELS, An improved convolution algorithm for discretely sampled Asian options
