A novel pricing method for European options based on Fourier-cosine series expansions
From MaRDI portal
(Redirected from Publication:99433)
Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Trigonometric approximation (42A10) Numerical methods for trigonometric approximation and interpolation (65T40)
Recommendations
- Pricing options under stochastic volatility with Fourier-cosine series expansions
- Efficient option pricing methods based on Fourier series expansions
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- The COS method for pricing options under uncertain volatility
Cited in
(only showing first 100 items - show all)- Lookback option pricing using the Fourier transform B-spline method
- Deep joint learning valuation of Bermudan swaptions
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- Numerical analysis of American option pricing in a two-asset jump-diffusion model
- An iterative splitting method for pricing European options under the Heston model
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- An analytical approximation for single barrier options under stochastic volatility models
- Pricing basket options by polynomial approximations
- A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- An efficient transform method for Asian option pricing
- Pricing vulnerable claims in a Lévy-driven model
- The use of power numeraires in option pricing
- Option pricing with Legendre polynomials
- Watanabe's expansion: a solution for the convexity conundrum
- A Stochastic Volatility Model With Realized Measures for Option Pricing
- Local stochastic volatility with jumps: analytical approximations
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Quantifying credit portfolio losses under multi-factor models
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Integrated structural approach to credit value adjustment
- A functional analysis approach to the static replication of European options
- On the calibration of the 3/2 model
- Approximating the density of the time to ruin via Fourier-cosine series expansion
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
- Efficient computation of various valuation adjustments under local Lévy models
- A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
- A high-order finite difference method for option valuation
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Pricing inflation products with stochastic volatility and stochastic interest rates
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Some pricing tools for the variance gamma model
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
- An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions
- Multivariate additive subordination with applications in finance
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- Exact simulation of the Hull and White stochastic volatility model
- A Weak MLMC Scheme for Lévy-Copula-Driven SDEs with Applications to the Pricing of Credit, Equity and Interest Rate Derivatives
- Volatility swaps and volatility options on discretely sampled realized variance
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
- Analytical pricing of American options
- Efficient pricing of European options on two underlying assets by frame duality
- Tempered stable structural model in pricing credit spread and credit default swap
- Option pricing under jump diffusion model
- Fourier-cosine method for Gerber-Shiu functions
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- The Jacobi stochastic volatility model
- Deep learning of optimal exercise boundaries for American options
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- Fourier neural network approximation of transition densities in finance
- Calibration and simulation of Heston model
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk
- Short time behavior of the ATM implied skew in the ADO-Heston model
- Pricing discrete barrier options and credit default swaps under Lévy processes
- Closed-form option pricing for exponential Lévy models: a residue approach
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Fourier-cosine method for ruin probabilities
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- Pricing Bermudan options under local Lévy models with default
- Precise quantile function estimation from the characteristic function
- Failure of Fourier pricing techniques to approximate the Greeks
- OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing -- through discrete differential method
- A comparative study on time-efficient methods to price compound options in the Heston model
- Numerical valuation of Bermudan basket options via partial differential equations
- Valuing guaranteed minimum death benefits by complex Fourier series expansion
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- Multigrid method for pricing European options under the CGMY process
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- A generalized integral equation formulation for pricing American options under regime-switching model
- Option pricing in some non-Lévy jump models
- Calibration and option pricing with stochastic volatility and double exponential jumps
- On an efficient multiple time step Monte Carlo simulation of the SABR model
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- The one step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
- Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- Hedging at-the-money digital options near maturity
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- Computing the Gerber-Shiu function by frame duality projection
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- What is beneath the surface? Option pricing with multifrequency latent states
This page was built for publication: A novel pricing method for European options based on Fourier-cosine series expansions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q99433)
