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)

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